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Browsing Research Articles (Actuarial Science) by Author "Mare, Eben"
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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) ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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, ...
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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 ...
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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 ...