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Modelling the Stochastic Correlation
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2016 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Modellering av stokastisk korrelationen (Swedish)
Abstract [en]

In this thesis, we mainly study the correlation between stocks. The correlation between stocks has been receiving increasing attention. Usually the correlation is considered to be a constant, although it is observed to be varying over time. In this thesis, we study the properties of correlations between Wiener processes and introduce a stochastic correlation model. Following the calibration methods by Zetocha, we implement the calibration for a new set of market data.

Abstract [sv]

I det här examensarbetet fokuserar vi främst på att studera korrelation mellan aktier. Korrelationen mellan aktier har fått allt större uppmärksamhet. Vanligtvis antas korrelation vara konstant, trots att empiriska studier antyder att den är tidsvarierande. I det här examensarbetet studerar vi egenskaper hos korrelationen mellan Wienerprocesser och inför en stokastisk korrelationsmodell. Baserat på kalibreringsmetoder av Zetocha implementerar vi kalibrering för en ny uppsättning av marknadsdata.

Place, publisher, year, edition, pages
TRITA-MAT-E, 2016:27
National Category
Probability Theory and Statistics
URN: urn:nbn:se:kth:diva-188501OAI: diva2:938934
Subject / course
Mathematical Statistics
Educational program
Master of Science - Applied and Computational Mathematics
Available from: 2016-06-17 Created: 2016-06-10 Last updated: 2016-06-17Bibliographically approved

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