{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/8524"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/8524","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Volatility derivatives in the Heston framework","abstract":"A volatility derivative is a financial contract where the payoff depends on the realized variance of a specified asset's returns. As volatility is in reality a stochastic variable, not deterministic as assumed in the Black-Scholes model, market participants may surely find volatility derivatives to be useful for hedging and speculation purposes. This study explores the construction and calibration of the Heston stochastic volatility model and the pricing of some volatility derivatives within this framework.","abstract_html":"A volatility derivative is a financial contract where the payoff depends on the realized variance of a specified asset's returns. As volatility is in reality a stochastic variable, not deterministic as assumed in the Black-Scholes model, market participants may surely find volatility derivatives to be useful for hedging and speculation purposes. This study explores the construction and calibration of the Heston stochastic volatility model and the pricing of some volatility derivatives within this framework.","abstract_has_math":false,"creators":["Kriel, Hiltje"],"institution":"Division of Actuarial Science","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Ouwehand, Peter"],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014","date_published":"2014","updated_at":"2026-07-22T22:23:07Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/8524","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Ouwehand, Peter"]},{"key":"dc:creator","label":"Author","values":["Kriel, Hiltje"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-10-17T10:09:53Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-10-17T10:09:53Z"]},{"key":"dc:date.issued","label":"Date","values":["2014"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Division of Actuarial Science"]},{"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/11427/8524"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["A volatility derivative is a financial contract where the payoff depends on the realized variance of a specified asset's returns. As volatility is in reality a stochastic variable, not deterministic as assumed in the Black-Scholes model, market participants may surely find volatility derivatives to be useful for hedging and speculation purposes. This study explores the construction and calibration of the Heston stochastic volatility model and the pricing of some volatility derivatives within this framework."]},{"key":"dc:title","label":"Title","values":["Volatility derivatives in the Heston framework"]}]}],"canonical_facts":{"dc:contributor.advisor":["Ouwehand, Peter"],"dc:creator":["Kriel, Hiltje"],"dc:date.accessioned":["2014-10-17T10:09:53Z"],"dc:date.available":["2014-10-17T10:09:53Z"],"dc:date.issued":["2014"],"dc:description":["Includes bibliographical references."],"dc:description.abstract":["A volatility derivative is a financial contract where the payoff depends on the realized variance of a specified asset's returns. As volatility is in reality a stochastic variable, not deterministic as assumed in the Black-Scholes model, market participants may surely find volatility derivatives to be useful for hedging and speculation purposes. This study explores the construction and calibration of the Heston stochastic volatility model and the pricing of some volatility derivatives within this framework."],"dc:identifier.uri":["http://hdl.handle.net/11427/8524"],"dc:language.iso":["eng"],"dc:publisher.department":["Division of Actuarial Science"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Volatility derivatives in the Heston framework"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:23:07Z"}