Browsing Actuarial Science by Title

Browsing Actuarial Science by Title

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  • 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 ...
  • 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 ...
  • Quantitative topics in portfolio and risk management 
    Flint, Emlyn James (University of Pretoria, 2019)
    The modern quantitative portfolio manager is the quintessential “jack of all trades”. Not only do they need to be an expert in the specific area of portfolio management, they also need to have a thorough understanding of ...
  • 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, ...
  • Risk evaluation techniques in a general insurance environment 
    Van den Heever, Rudolf Johannes (University of Pretoria, 2005-11-01)
    Please read the abstract in the section 00front of this document
  • 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 ...
  • Simulation-based optimisation of the timing of loan recovery across different portfolios 
    Botha, Arno; Beyers, Conrad F.J.; De Villiers, Johan 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 ...
  • 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 ...
  • 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 ...