{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/11774"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/11774","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Parameter estimation of a bivariate diffusion process : the Heston model","abstract":"The main objective of the research is to estimate the parameters on the Heston (1993) model, which models the movement of asset prices assuming that the asset price volatility is stochastic. The paper concentrates on estimating these parameters by approximating the transitional probabilities of the diffusion process with a saddlepoint distribution. By solving a system of ordinary differential equations that are in terms of the system’s cumulants, and using these solutions to calculate the saddlepoint, the transitional probabilities of the diffusion process can be approximated.","abstract_html":"The main objective of the research is to estimate the parameters on the Heston (1993) model, which models the movement of asset prices assuming that the asset price volatility is stochastic. The paper concentrates on estimating these parameters by approximating the transitional probabilities of the diffusion process with a saddlepoint distribution. By solving a system of ordinary differential equations that are in terms of the system’s cumulants, and using these solutions to calculate the saddlepoint, the transitional probabilities of the diffusion process can be approximated.","abstract_has_math":false,"creators":["Nomoyi, Siyabulela"],"institution":"Department of Statistical Sciences","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Varughese, Melvin"],"committee_chairs":[],"committee_members":[],"year":2011,"date_issued":"2011","date_published":"2011","updated_at":"2026-07-22T22:23:23Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/11774","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Varughese, Melvin"]},{"key":"dc:creator","label":"Author","values":["Nomoyi, Siyabulela"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2015-01-08T19:56:59Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2015-01-08T19:56:59Z"]},{"key":"dc:date.issued","label":"Date","values":["2011"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Statistical Sciences"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MPhil"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/11774"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes abstract.","Includes bibliographical references (leaves 27-29)."]},{"key":"dc:description.abstract","label":"Abstract","values":["The main objective of the research is to estimate the parameters on the Heston (1993) model, which models the movement of asset prices assuming that the asset price volatility is stochastic. The paper concentrates on estimating these parameters by approximating the transitional probabilities of the diffusion process with a saddlepoint distribution. By solving a system of ordinary differential equations that are in terms of the system’s cumulants, and using these solutions to calculate the saddlepoint, the transitional probabilities of the diffusion process can be approximated."]},{"key":"dc:title","label":"Title","values":["Parameter estimation of a bivariate diffusion process : the Heston model"]}]}],"canonical_facts":{"dc:contributor.advisor":["Varughese, Melvin"],"dc:creator":["Nomoyi, Siyabulela"],"dc:date.accessioned":["2015-01-08T19:56:59Z"],"dc:date.available":["2015-01-08T19:56:59Z"],"dc:date.issued":["2011"],"dc:description":["Includes abstract.","Includes bibliographical references (leaves 27-29)."],"dc:description.abstract":["The main objective of the research is to estimate the parameters on the Heston (1993) model, which models the movement of asset prices assuming that the asset price volatility is stochastic. The paper concentrates on estimating these parameters by approximating the transitional probabilities of the diffusion process with a saddlepoint distribution. By solving a system of ordinary differential equations that are in terms of the system’s cumulants, and using these solutions to calculate the saddlepoint, the transitional probabilities of the diffusion process can be approximated."],"dc:identifier.uri":["http://hdl.handle.net/11427/11774"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Statistical Sciences"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Parameter estimation of a bivariate diffusion process : the Heston model"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:23:23Z"}