• Pricing two-asset rainbow options with the fast Fourier transform 

  Levendis, Alexis; Mare, Eben (South African Statistical Association (SASA), 2023)

  In this paper, we present a numerical method based on the fast Fourier transform (FFT) to price call options on the minimum of two assets, otherwise known as two-asset rainbow options. We consider two stochastic processes ...
• An economic scenario generator for embedded derivatives in South Africa 

  Levendis, Alexis; Mare, Eben (Actuarial Society of South Africa, 2022)

  It is well known that interest rate risk is a dominating factor when pricing long-dated contingent claims. The Heston stochastic volatility model fails to capture this risk as the model assumes a constant interest rate ...
• Collateralised option pricing in a South African context : a univariate GARCH approach 

  Venter, Pierre J.; Levendis, Alexis Jacques; Mare, Eben (Taylor and Francis, 2022)

  In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) ...
• Efficient pricing of spread options with stochastic rates and stochastic volatility 

  Levendis, Alexis Jacques; Mare, Eben (MDPI, 2022-11)

  Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some strides have been made in recent years through the application of Fourier transform methods; however, to date, these methods ...
• Simulation-based optimisation of the timing of loan recovery across different portfolios 

  Botha, Arno; Beyers, Conrad F.J.; De Villiers, Pieter (Elsevier, 2021-09)

  A novel procedure is presented for the objective comparison and evaluation of a bank’s decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the ...
• Time-varying volatility models and indices : a GARCH option pricing approach 

  Venter, Pierre Johan (University of Pretoria, 2022)

  In this thesis, the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is applied to illiquid markets, volatility indices and in a modern derivative pricing framework. Chapter 2 provides ...
• If the equal weighted portfolio is so great, why isn’t it working in South Africa? 

  Taljaard, Byran Hugo; Mare, Eben (NISC Pty (Ltd) and Informa Limited (trading as Taylor and Francis Group), 2021)

  This paper considers the recent underperformance of the equal weighted portfolio of South African Top 40 stocks relative to the market capitalisation weighted portfolio. It highlights the impact of the increased concentration ...
• Modelling of financial risk using forward-looking distributions derived from contingent claims 

  Van Appel, Vaughan (University of Pretoria, 2022)

  In this thesis, we investigate several methods for extracting the forecast distribution from historical asset returns and market-quoted option prices. Typically, risk-neutral distributions, extracted from market quoted ...
• Improving our understanding of the equal weighted portfolio 

  Taljaard, Byran H. (University of Pretoria, 2022)

  This thesis analyses the performance of the equal weighted portfolio using an approach from stochastic portfolio theory. This framework allows for the decomposition of the relative performance of the equal weighted portfolio ...
• Determining safe retirement withdrawal rates using forward-looking distributions 

  Van Appel, Vaughan; Mare, Eben (Academy of Science of South Africa, 2022-03)

  An important topic for retirees is determining how much they can safely withdraw from their retirement savings: draw too much from their retirement fund and risk outliving their retirement savings, or draw too little and ...
• Why has the equal weight portfolio underperformed and what can we do about it? 

  Taljaard, Byran Hugo; Mare, Eben (Routledge, 2021)

  It is widely noted that market capitalisation weighted portfolios are inefficient and underperform an equal weighted portfolio over the long-term. However, at least since 2016, an equal weighted portfolio of stocks in the ...
• A computable general equilibrium model as a banking sector regulatory tool in South Africa 

  Beyers, Frederik Johannes Conradie; De Freitas, Allan; Essel-Mensah, Kojo Amonkwandoh; Seymore, Reyno; Tsomocos, Dimitrios P. (Wiley, 2022-03)

  A computable general equilibrium (CGE) model is used as a regulatory tool for the banking sector in South Africa. The model is used to determine the effects of regulatory penalties, capital adequacy requirements (CAR) and ...
• A computable general equilibrium model for banking sector risk assessment in South Africa 

  Beyers, Conrad F.J.; De Freitas, Allan; Essel-Mensah, Kojo Amonkwandoh; Seymore, Reyno; Tsomocos, Dimitrios P. (Springer, 2020-06)

  In this article a banking sector Computable general equilibrium (CGE) model for South Africa is developed. The model is used to estimate the potential effect of regulatory policy on the economy and as a risk assessment ...
• The effect of observation errors on parameter estimates applied to seismic hazard and insurance risk modelling 

  Pretorius, Samantha (University of Pretoria, 2014-04-30)

  The research attempts to resolve which method of estimation is the most consistent for the parameters of the earthquake model, and how these different methods of estimation, as well as other changes, in the earthquake model ...
• Investigating the threshold of event detection with application to earthquake and operational risk theory 

  De Witt, Corn e Juan (University of Pretoria, 2013)

  This study provides systematic analysis of points of structural change in probability distributions. In observed frequency data of earthquakes, such a threshold exists due to the non-detection of events below a certain ...
• Artificial neural networks and their application to modelling South African market returns 

  Smith, Matthew Lee (University of Pretoria, 2014)

  The modelling technique known as Artificial Neural Networks (ANNs) is investigated. ANNs have the ability to detect and project non-linear relationships between variables. Further, they can adapt in dynamically changing ...
• The recovery theorem with application to risk management 

  Van Appel, Vaughan; Mare, Eben (South African Statistical Association, 2020)

  The forward-looking nature of option prices provides an appealing way to extract risk measures. In this paper, we extract forecast densities from option prices that can be used in forecasting risk measures. More specifically, ...
• Top-down stress testing of the largest full service South African banks 

  Conradie, Dirk Cornelis Uys (University of Pretoria, 2020)

  Banks are key to a well-functioning economy. Periods of economic stress could put banks and therefore the financial system at risk so regulators such as the Prudential Authority in South Africa need to know if banks are ...
• Price discovery in the cryptocurrency option market : a univariate GARCH approach 

  Venter, Pierre Johan; Mare, Eben; Pindza, Edson (Cogent OA, 2020)

  In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX). The first model is symmetric and the other ...
• Age estimation from anterior cervical vertebral ring apophysis ossification in South Africans 

  Uys, Andre; Bernitz, Herman; Pretorius, Samantha; Steyn, M. (Springer, 2019-11)

  Age estimation in living individuals around the age of 18 years remains a difficult challenge. In this study, the anterior inferior vertebral ring apophysis development of cervical vertebrae C2, C3, and C4 of 496 white and ...

View more