Browsing Theses and Dissertations (Mathematics and Applied Mathematics) by Supervisor "Mare, Eben"
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Browsing Theses and Dissertations (Mathematics and Applied Mathematics) by Supervisor "Mare, Eben"
Now showing items 1-20 of 26
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(University of Pretoria, 2018)This dissertation examines the market efficiency and arbitrage opportunities between 04 January 2000 and 31 December 2015 on selected JSE-listed stocks and equity indices. To assess market efficiency, four tests were ...
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(University of Pretoria, 2023)Researchers from the field of econophysics have favoured the idea that financial markets are a complex adaptive system, consisting of entities that behave and interact in a diverse manner, leading to non-linear, emergent ...
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(University of Pretoria, 2011)Employee share options and Black Economic Empowerment deals are financial instruments found in the South African market. Employee share options (ESOs) are issued as a form of non-cash compensation to the employees of the ...
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(University of Pretoria, 2007-07-26)Stochastic differential equations (SDE’s) are used to describe systems which are influenced by randomness. Here, randomness is modelled as some external source interacting with the system, thus ensuring that the stochastic ...
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(University of Pretoria, 2014)The Binomial option pricing model plays an integral role in modern nance due to its simplicity to implement and pedagogical value. There are two ways of extending the Binomial model on one source of underlying risk. The ...
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(University of Pretoria, 2012-07-03)The credit valuation adjustment (CVA) on an over-the-counter derivative transaction is the price of the risk associated with the potential default of the counterparties to the trade. This dissertation provides an introduction ...
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(University of Pretoria, 2009-10-23)We consider the finite difference method applied to a class of financial problems. Specifically, we investigate the properties of the Du Fort and Frankel finite difference scheme and experiment with adaptations of the ...
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(University of Pretoria, 2015)The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial ...
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(University of Pretoria, 2015)Stochastic Portfolio Theory (SPT) as a methodology aims to move away from the e cient market hypothesis which was developed mainly as a way of explaining the relationship between risk and returns. SPT attempts to ...
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(University of Pretoria, 2012-07-03)In this dissertation we survey a variety of methods for constructing zero-coupon yield curves. We show that, when accuracy is of the utmost importance, the bootstrap described by Hagan and West (2006), Smit (2000), and ...
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(University of Pretoria, 2012-07-03)The South African interest rate market has mainly been focused on vanilla interest rate products and hence can be seen as underdeveloped in this regard when compared, for instance, to the associated equity market. Market ...
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(University of Pretoria, 2009-06-17)The South African fixed interest rate market has historically had very little liquidity beyond 15 - 20 years. Most financial institutions are currently prepared to quote and trade interest rate risk up to a maximum term ...
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(University of Pretoria, 2014)This dissertation proposes stress testing of a bank’s corporate credit portfolio in a Basel Internal Ratings Based (IRB) framework, using publicly available macroeconomic variables. Corporate insolvencies are used to derive ...
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(University of Pretoria, 2009-10-08)The global over-the-counter derivatives market reached a staggering 14.5 trillion US dollars in gross market value at the end of December 2007. Although OTC derivatives are extremely useful and versatile in transferring ...
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(University of Pretoria, 2014)This dissertation tackles the current life insurance industry challenge to price and hedge minimum rate of return guarantees (MRRG) embedded in recurring-contribution life insurance contracts in a practical manner. The ...
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(University of Pretoria, 2017)The Great Financial Crisis (GFC) of 2008 left many financial institutions devastated. Despite the practice of advanced risk management at the time, society witnessed the collapse of the “too big to fail” institutions. Gaping ...
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(University of Pretoria, 2019)In this dissertation, the price of variance swaps under stochastic volatility models based on the work done by Barndorff-Nielsen and Shepard (2001) and Heston (1993) is discussed. The choice of these models is as a result ...
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(University of Pretoria, 2017)Spectral methods have been actively developed in the last decades. The main advantage of these methods is to yield exponential order of accuracy when the function is smooth. However, for discontinuous functions, their ...
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(University of Pretoria, 2021)In this work, we construct numerical methods to solve a wide range of problems in finance. This includes the valuation under affine jump diffusion processes, chaotic and hyperchaotic systems, and pricing fractional ...
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(University of Pretoria, 2014)In this dissertation we take a look at the rise of interest rate basis spreads in the market following the liquidity and credit crunch of 2008. We show that post 2008 the valuation of all interest rate instruments of a ...
Now showing items 1-20 of 26