• 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 ...
• 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 ...
• 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 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, ...
• 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 ...
• 25-hydroxyvitamin D deficiency : impacting deep-wound infection and poor healing outcomes in patients with diabetes 

  Smart, Hiske; AlGhareeb, Ahmed Mohamed; Smart, Sally-Anne (Lippincott, Williams and Wilkins, 2019-07)

  BACKGROUND : The Kingdom of Bahrain has a high incidence of diabetes and associated foot complications. Simultaneously, low 25-hydroxyvitamin D (25[OH]D) levels are common in this population and may be associated with the ...
• The Ross recovery theorem with a regularised multivariate Markov chain 

  Van Appel, Vaughan; Mare, Eben (Operations Research Society of South Africa, 2018-11-04)

  Recently, Ross derived a theorem, namely the “Recovery Theorem”, that allows for the recovery of the pricing kernel and real-world asset distribution, under particular assumptions, from a forward-looking risk neutral ...
• Optimal asset allocation for a DC plan with partial information under inflation and mortality risks 

  Guambe, Calisto; Kufakunesu, Rodwell; Van Zyl, A.J. (Gusti); Beyers, Conrad F.J. (Taylor and Francis, 2021)

  We study an asset allocation stochastic problem for a defined-contribution pension plan during the accumulation phase. We consider a financial market composed of a risk-free asset, an inflation-linked bond and the risky ...
• Financial contagion in large, inhomogeneous stochastic interbank networks 

  Walters, Nadine; Van Zyl, A.J. (Gusti); Beyers, Frederik Johannes Conradie (World Scientific Publishing, 2019-03)

  We consider the fraction of nodes that default in large, stochastic, inhomogeneous financial networks following an initial shock to the system. Results for deterministic sequences of networks are generalized to stochastic ...
• Estimating age and the probability of being at least 18 years of age using third molars : a comparison between Black and White individuals living in South Africa 

  Uys, Andre; Bernitz, Herman; Pretorius, Samantha; Steyn, M. (Springer, 2018-09)

  Third molar development of 705 White and 563 Black South African individuals aged between 15 and 25 years was assessed from panoramic radiographs obtained from the School of Dentistry, University of Pretoria, South Africa. ...
• Estimating option-implied distributions in illiquid markets and implementing the Ross recovery theorem 

  Flint, Emlyn James; Mare, Eben (Actuarial Society of South Africa, 2017)

  In this research we describe how forward-looking information on the statistical properties of an asset can be extracted directly from options market data and demonstrate how this can be practically applied to portfolio ...
• A method of parameterising a feed forward multi-layered perceptron artificial neural network, with reference to South African financial markets 

  Smith, M.L. (Mattie); Beyers, Frederik Johannes Conradie; De Villiers, Johan Pieter (Actuarial Society of South Africa, 2016)

  No analytic procedures currently exist for determining optimal artificial neural network structures and parameters for any given application. Traditionally, when artificial neural networks have been applied to financial ...

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