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Showing 10 out of a total of 21 results for collection: Research Articles (Actuarial Science).
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Pricing two-asset rainbow options with the fast Fourier transform
Levendis, Alexis
;
Mare, Eben
(
South African Statistical Association (SASA)
,
2023
)
Efficient pricing of spread options with stochastic rates and stochastic volatility
Levendis, Alexis Jacques
;
Mare, Eben
(
MDPI
,
2022-11
)
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
)
Determining safe retirement withdrawal rates using forward-looking distributions
Van Appel, Vaughan
;
Mare, Eben
(
Academy of Science of South Africa
,
2022-03
)
Collateralised option pricing in a South African context : a univariate GARCH approach
Venter, Pierre J.
;
Levendis, Alexis Jacques
;
Mare, Eben
(
Taylor and Francis
,
2022
)
An economic scenario generator for embedded derivatives in South Africa
Levendis, Alexis
;
Mare, Eben
(
Actuarial Society of South Africa
,
2022
)
Simulation-based optimisation of the timing of loan recovery across different portfolios
Botha, Arno
;
Beyers, Conrad F.J.
;
De Villiers, Pieter
(
Elsevier
,
2021-09
)
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
)
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
)
Why has the equal weight portfolio underperformed and what can we do about it?
Taljaard, Byran Hugo
;
Mare, Eben
(
Routledge
,
2021
)
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Author
Mare, Eben (11)
Beyers, Conrad F.J. (3)
Beyers, Frederik Johannes Conradie (3)
Van Appel, Vaughan (3)
Bernitz, Herman (2)
De Freitas, Allan (2)
Essel-Mensah, Kojo Amonkwandoh (2)
Levendis, Alexis (2)
Levendis, Alexis Jacques (2)
Pretorius, Samantha (2)
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Subject
Banking regulation (2)
Computable general equilibrium (CGE) (2)
Diversification (2)
Equal weight portfolio (2)
Equities (2)
Fast Fourier transform (FFT) (2)
Option pricing (2)
Ross recovery theorem (2)
Stochastic interest rates (2)
Stochastic portfolio theory (2)
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Date Issued
2020 - 2023 (13)
2011 - 2019 (8)
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true (21)