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Showing 34 out of a total of 34 results for community: Mathematics and Applied Mathematics.
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Interpolating yield curve data in a manner that ensures positive and continuous forward curves
Du Preez, Paul F.
;
Mare, Eben
(
Department of Economics, University of Pretoria
,
2013
)
Determining safe retirement withdrawal rates using forward-looking distributions
Van Appel, Vaughan
;
Mare, Eben
(
Academy of Science of South Africa
,
2022-03
)
Estimating option-implied distributions in illiquid markets and implementing the Ross recovery theorem
Flint, Emlyn James
;
Mare, Eben
(
Actuarial Society of South Africa
,
2017
)
The recovery theorem with application to risk management
Van Appel, Vaughan
;
Mare, Eben
(
South African Statistical Association
,
2020
)
Efficient pricing of spread options with stochastic rates and stochastic volatility
Levendis, Alexis Jacques
;
Mare, Eben
(
MDPI
,
2022-11
)
Solving the generalized regularized long wave equation using a distributed approximating functional method
Pindza, Edson
;
Mare, Eben
(
Hindawi Publishing
,
2014-04-12
)
Safe spending rates for South African retirees
Mare, Eben
(
AOSIS Open Journals
,
2016-01
)
Quantitative guidelines for retiring (more safely) in South Africa
Van Appel, Vaughan
;
Mare, Eben
;
Van Niekerk, Andries
(
Actuarial Society of South Africa
,
2021-01-01
)
A note on equity returns for South African investors
Mare, Eben
(
Academy of Science of South Africa
,
2018-07-30
)
Applying the barycentric Jacobi spectral method to price options with transaction costs in a fractional Black-Scholes framework
Nteumagné, B.F.
;
Pindza, Edson
;
Mare, Eben
(
Scientific Research Publishing
,
2014-01
)
Why has the equal weight portfolio underperformed and what can we do about it?
Taljaard, Byran Hugo
;
Mare, Eben
(
Routledge
,
2021
)
Fractional Black–Scholes option pricing, volatility calibration and implied Hurst exponents in South African context
Flint, Emlyn James
;
Mare, Eben
(
University of Pretoria, Department of Economics
,
2017-03-29
)
A lagrange regularized kernel method for solving multi-dimensional time-fractional heat equations
Pindza, Edson
;
Mba, Jules Clement
;
Mare, Eben
;
Moubandjo, Desiree
(
De Gruyter
,
2016
)
Pricing two-asset rainbow options with the fast Fourier transform
Levendis, Alexis
;
Mare, Eben
(
South African Statistical Association (SASA)
,
2023
)
Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
Pindza, Edson
;
Youbi, Francis
;
Mare, Eben
;
Davison, Matt
(
American Institute of Mathematical Sciences
,
2019-06
)
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
)
Volatility – ubiquitous, yet evasive?
Mare, Eben
(
Treasury Management International
,
2014
)
A note on a framework to assess the required equity risk premium using cumulative prospect theory
Holdsworth, Chris
;
Mare, Eben
(
Scientific Research Publishing
,
2014
)
High frequency induced instability in Nyström methods for the Van der Pol equation
Schoombie, S.W.
;
Mare, Eben
(
Society for Industrial and Applied Mathematics
,
2008
)
Homotopy perturbation transform method for pricing under pure diffusion models with affine coefficients
Moutsinga, Claude Rodrigue Bambe
;
Pindza, Edson
;
Mare, Eben
(
Elsevier
,
2018-01
)
How does traditional option hedging perform in the South African equity market?
Mare, Eben
(
Investment Analysts Society of Southern Africa
,
2009-12
)
Pricing variable annuity guarantees in South Africa under a Variance-Gamma model
Ngugi, A.M. (Alvin Macharia)
;
Mare, Eben
;
Kufakunesu, Rodwell
(
Actuarial Society of South Africa
,
2015
)
The Ross recovery theorem with a regularised multivariate Markov chain
Van Appel, Vaughan
;
Mare, Eben
(
Operations Research Society of South Africa
,
2018-11-04
)
Sinc collocation method for solving the Benjamin-Ono equation
Pindza, Edson
;
Mare, Eben
(
Hindawi Publishing
,
2014-07-23
)
A robust spectral integral method for solving chaotic finance systems
Moutsinga, Claude Rodrigue Bambe
;
Pindza, Edson
;
Mare, Eben
(
Elsevier
,
2020-03
)
A proposed best practice model validation framework for banks
De Jongh, Pieter J. (Riaan)
;
Larney, Janette
;
Mare, Eben
;
Van Vuuren, Gary W.
;
Verster, Tanja
(
University of Pretoria, Department of Economics
,
2017-06-23
)
Price discovery in the cryptocurrency option market : a univariate GARCH approach
Venter, Pierre Johan
;
Mare, Eben
;
Pindza, Edson
(
Cogent OA
,
2020
)
GARCH option pricing models in a South African equity context
Venter, Pierre Johan
;
Mare, Eben
(
Operations Research Society of South Africa
,
2020
)
Value at risk in the South African equity market : a view from the tails
Milwidsky, C.
;
Mare, Eben
(
Juta
,
2010-09
)
Aspects of volatility targetting for South African equity investors
Khuzwayo, Bhekinkosi
;
Mare, Eben
(
Department of Economics, University of Pretoria
,
2014
)
Regime-based tactical allocation for equity factors and balanced portfolios
Flint, Emlyn James
;
Mare, Eben
(
Actuarial Society of South Africa
,
2019
)
Banking regulations : an examination of the failure of African Bank using Merton’s structural model
Sanderson, Leon B.
;
Mare, Eben
;
De Jongh, Dawie C.J.
(
Academy of Science of South Africa
,
2017-07
)
Considering the use of an equal-weighted index as a benchmark for South African equity investors
Taljaard, Byran Hugo
;
Mare, Eben
(
Actuarial Society of South Africa
,
2019
)
Collateralised option pricing in a South African context : a univariate GARCH approach
Venter, Pierre J.
;
Levendis, Alexis Jacques
;
Mare, Eben
(
Taylor and Francis
,
2022
)
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Author
Mare, Eben (34)
Pindza, Edson (8)
Van Appel, Vaughan (4)
Flint, Emlyn James (3)
Taljaard, Byran Hugo (3)
Levendis, Alexis Jacques (2)
Moutsinga, Claude Rodrigue Bambe (2)
Venter, Pierre Johan (2)
Davison, Matt (1)
De Jongh, Dawie C.J. (1)
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Subject
Equities (4)
Pricing (3)
Risk (3)
Volatility (3)
Asset allocation (2)
Diversification (2)
Equal weight portfolio (2)
Equity markets (2)
Fast Fourier transform (FFT) (2)
Generalised autoregressive conditional heteroskedasticity (GARCH) (2)
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Date Issued
2020 - 2023 (11)
2010 - 2019 (21)
2008 - 2009 (2)
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