WISHART STOCHASTIC VOLATILITY MODELS WITH APPLICATIONS TO EMERGING FINANCIAL MARKETS DATA

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dc.contributor.author NABIRYE, TOPILISTA
dc.date.accessioned 2018-02-05T09:08:12Z
dc.date.available 2018-02-05T09:08:12Z
dc.date.issued 2018-02-05
dc.identifier.citation Nabirye 2017 en_US
dc.identifier.uri http://hdl.handle.net/123456789/3879
dc.description Master of Science in Mathematics (Financial option) en_US
dc.description.abstract Financial markets are known to be far from deterministic but stochastic and hence random models tend to perfectly model the markets. The most recent development in stochastic models is the Wishart Stochastic Volatility Model which is a n dimensional model. The study aimed at modelling returns volatility in emerging financial market using Wishart Stochastic Volatility Model. Pricing in one dimension and two dimension was explored. A suitable Wishart Stochastic Volatility Model for an emerging financial market was constructed basing on the characteristics of an emerging financial market. Foreign Exchange derivative pricing was done under constant and stochastic correlation using finite difference method called the Crank Nicolson method. The study compared the modified Model (with stochastic correlation) to the Black scholes model (with constant correlation) using real data from emerging financial markets that is the exchange rates data for Kenya as the domestic currency and South Africa as the foreign currency. The modified model provide better volatility smiles compared to the Black scholes model and outperformed the Black scholes model as observed from the smallest AIC and BIC values. en_US
dc.description.sponsorship Philip Ngare, PhD (University of Nairobi) Joseph Mungatu, PhD (Jomo Kenyatta University of Agriculture and Technology) en_US
dc.language.iso en en_US
dc.publisher JKUAT-PAUSTI en_US
dc.subject WISHART STOCHASTIC VOLATILITY MODELS en_US
dc.subject WISHART STOCHASTIC en_US
dc.subject FINANCIAL MARKETS DATA en_US
dc.title WISHART STOCHASTIC VOLATILITY MODELS WITH APPLICATIONS TO EMERGING FINANCIAL MARKETS DATA en_US
dc.type Thesis en_US


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