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dc.contributor	Jogreus, Claes
dc.contributor.author	Octavio Bayón, Jordi
dc.contributor.author	Torres Baix, Joan
dc.date	2010-03-05T19:37:16Z
dc.date	2010-03-05T19:37:16Z
dc.date	2008
dc.date	2010-03-05T19:37:16Z
dc.date.accessioned	2012-06-26T01:14:16Z
dc.date.available	2012-06-26T01:14:16Z
dc.date.issued	2012-06-26T01:14:16Z
dc.identifier.uri	http://hdl.handle.net/2099.1/8705
dc.language.iso	eng
dc.publisher	Universitat Politècnica de Catalunya
dc.publisher	Blekinge Tekniska Högskola
dc.rights	Restricted access - confidentiality agreement
dc.subject	Àrees temàtiques de la UPC::Economia i organització d'empreses::Macroeconomia::Finances
dc.subject	Àrees temàtiques de la UPC::Matemàtiques i estadística::Anàlisi numèrica::Modelització matemàtica
dc.subject	Business mathematics
dc.subject	Finance -- Mathematical models
dc.subject	Risk assessment
dc.subject	Matemàtica financera
dc.subject	Finances -- Models matemàtics
dc.subject	Avaluació del risc
dc.title	Evaluation of NIG and Heston models in Financial Mathematics
dc.title	Evaluation of models of log returns
dc.type	info:eu-repo/semantics/masterThesis
dc.description.abstract	Various models for evaluation of the risk of a portfolio are compared. TheNIG and Heston models have been investigated thoroughly, especially bysimulation. Real data has been used for calibration of the NIG model. Theparameters have been varied to study the sensitivity of the model.