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You searched for subject:(Financial Mathematics). Showing records 1 – 30 of 197 total matches.

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University of Cape Town

1. Zhou, Sen Lin. Geometric Asian option: Geometric Ornstein-Uhlenbeck process.

Degree: Image, Division of Actuarial Science, 2013, University of Cape Town

 Asian options, also known as average value options, are exotic options whose payoffs are dependent on the average prices of the underlying assets over the… (more)

Subjects/Keywords: Financial Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Zhou, S. L. (2013). Geometric Asian option: Geometric Ornstein-Uhlenbeck process. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/22062

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Zhou, Sen Lin. “Geometric Asian option: Geometric Ornstein-Uhlenbeck process.” 2013. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/22062.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Zhou, Sen Lin. “Geometric Asian option: Geometric Ornstein-Uhlenbeck process.” 2013. Web. 14 Dec 2019.

Vancouver:

Zhou SL. Geometric Asian option: Geometric Ornstein-Uhlenbeck process. [Internet] [Thesis]. University of Cape Town; 2013. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/22062.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhou SL. Geometric Asian option: Geometric Ornstein-Uhlenbeck process. [Thesis]. University of Cape Town; 2013. Available from: http://hdl.handle.net/11427/22062

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

2. Munhumwe, Blessing. The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market.

Degree: Image, School of Economics, 2011, University of Cape Town

The purpose of this study is to price options under jump diffusions using Fourier Transforms and obtain the implied volatility surface from these option prices. Advisors/Committee Members: Becker, Ronald (advisor).

Subjects/Keywords: Financial Mathematics

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APA (6th Edition):

Munhumwe, B. (2011). The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/13042

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Munhumwe, Blessing. “The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market.” 2011. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/13042.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Munhumwe, Blessing. “The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market.” 2011. Web. 14 Dec 2019.

Vancouver:

Munhumwe B. The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market. [Internet] [Thesis]. University of Cape Town; 2011. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/13042.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Munhumwe B. The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market. [Thesis]. University of Cape Town; 2011. Available from: http://hdl.handle.net/11427/13042

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

3. Sihlobo, Odwa. Stochastic time-changed Lévy processes with their implementation.

Degree: Image, Division of Actuarial Science, 2014, University of Cape Town

 We focus on the implementation details for Lévy processes and their extension to stochastic volatility models for pricing European vanilla options and exotic options. We… (more)

Subjects/Keywords: Financial Mathematics

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APA (6th Edition):

Sihlobo, O. (2014). Stochastic time-changed Lévy processes with their implementation. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/13156

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Sihlobo, Odwa. “Stochastic time-changed Lévy processes with their implementation.” 2014. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/13156.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Sihlobo, Odwa. “Stochastic time-changed Lévy processes with their implementation.” 2014. Web. 14 Dec 2019.

Vancouver:

Sihlobo O. Stochastic time-changed Lévy processes with their implementation. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/13156.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sihlobo O. Stochastic time-changed Lévy processes with their implementation. [Thesis]. University of Cape Town; 2014. Available from: http://hdl.handle.net/11427/13156

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

4. Hagspihl, Christoph. A comparison of three analytical approximations for basket option valuation.

Degree: Image, Mathematics and Applied Mathematics, 2013, University of Cape Town

 Three prominent analytical approximations for pricing basket options,by Levy (1992), Ju (2002) and Deelstra et aI. (2004), are tested for performance and accuracy. Sensitivity analysis… (more)

Subjects/Keywords: Financial Mathematics

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APA (6th Edition):

Hagspihl, C. (2013). A comparison of three analytical approximations for basket option valuation. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/18690

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Hagspihl, Christoph. “A comparison of three analytical approximations for basket option valuation.” 2013. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/18690.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Hagspihl, Christoph. “A comparison of three analytical approximations for basket option valuation.” 2013. Web. 14 Dec 2019.

Vancouver:

Hagspihl C. A comparison of three analytical approximations for basket option valuation. [Internet] [Thesis]. University of Cape Town; 2013. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/18690.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hagspihl C. A comparison of three analytical approximations for basket option valuation. [Thesis]. University of Cape Town; 2013. Available from: http://hdl.handle.net/11427/18690

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

5. Clur, John-Craig. Nonparametric smoothing in extreme value theory.

Degree: Image, Statistical Sciences, 2010, University of Cape Town

 This work investigates the modelling of non-stationary sample extremes using a roughness penalty approach, in which smoothed natural cubic splines are fitted to the location… (more)

Subjects/Keywords: Financial Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Clur, J. (2010). Nonparametric smoothing in extreme value theory. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/10285

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Clur, John-Craig. “Nonparametric smoothing in extreme value theory.” 2010. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/10285.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Clur, John-Craig. “Nonparametric smoothing in extreme value theory.” 2010. Web. 14 Dec 2019.

Vancouver:

Clur J. Nonparametric smoothing in extreme value theory. [Internet] [Thesis]. University of Cape Town; 2010. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/10285.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Clur J. Nonparametric smoothing in extreme value theory. [Thesis]. University of Cape Town; 2010. Available from: http://hdl.handle.net/11427/10285

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

6. Giuricich, Mario Nicolo. Benefits of a Tree-Based model for stock selection in a South African context.

Degree: Image, School of Economics, 2014, University of Cape Town

 Quantitative investment practitioners typically model the performance of a stock relative to its benchmark and the stock's fundamental factors in a classical linear framework. However,… (more)

Subjects/Keywords: Financial Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Giuricich, M. N. (2014). Benefits of a Tree-Based model for stock selection in a South African context. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/8515

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Giuricich, Mario Nicolo. “Benefits of a Tree-Based model for stock selection in a South African context.” 2014. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/8515.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Giuricich, Mario Nicolo. “Benefits of a Tree-Based model for stock selection in a South African context.” 2014. Web. 14 Dec 2019.

Vancouver:

Giuricich MN. Benefits of a Tree-Based model for stock selection in a South African context. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/8515.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Giuricich MN. Benefits of a Tree-Based model for stock selection in a South African context. [Thesis]. University of Cape Town; 2014. Available from: http://hdl.handle.net/11427/8515

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

7. Govender, Kieran. Statistical arbitrage in South African financial markets.

Degree: Image, School of Economics, 2011, University of Cape Town

 Engle and Granger’s (1987) co-integrating framework provides a useful method of analyzing the dynamics of non-stationary data in both the short and long run. However,… (more)

Subjects/Keywords: Financial Mathematics

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APA (6th Edition):

Govender, K. (2011). Statistical arbitrage in South African financial markets. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/12241

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Govender, Kieran. “Statistical arbitrage in South African financial markets.” 2011. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/12241.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Govender, Kieran. “Statistical arbitrage in South African financial markets.” 2011. Web. 14 Dec 2019.

Vancouver:

Govender K. Statistical arbitrage in South African financial markets. [Internet] [Thesis]. University of Cape Town; 2011. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/12241.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Govender K. Statistical arbitrage in South African financial markets. [Thesis]. University of Cape Town; 2011. Available from: http://hdl.handle.net/11427/12241

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

8. Linley, Christopher. Modelling dependance in collateralied debt obligations with copulas.

Degree: Image, Mathematics and Applied Mathematics, 2010, University of Cape Town

 In this paper we provide a review of credit derivatives, and some of the tools used to model them. We give a basic introduction to… (more)

Subjects/Keywords: Financial Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Linley, C. (2010). Modelling dependance in collateralied debt obligations with copulas. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/4903

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Linley, Christopher. “Modelling dependance in collateralied debt obligations with copulas.” 2010. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/4903.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Linley, Christopher. “Modelling dependance in collateralied debt obligations with copulas.” 2010. Web. 14 Dec 2019.

Vancouver:

Linley C. Modelling dependance in collateralied debt obligations with copulas. [Internet] [Thesis]. University of Cape Town; 2010. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/4903.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Linley C. Modelling dependance in collateralied debt obligations with copulas. [Thesis]. University of Cape Town; 2010. Available from: http://hdl.handle.net/11427/4903

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

9. Ndebele, Ndumiso. 3-month bond option strategies: an analysis of performance from 1998 to 2010 in the South African market.

Degree: Image, School of Economics, 2011, University of Cape Town

 Due to the 2008 financial crisis, investors have become more risk averse in investing in equities and have increased their holdings in bonds as they… (more)

Subjects/Keywords: Financial Mathematics

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APA (6th Edition):

Ndebele, N. (2011). 3-month bond option strategies: an analysis of performance from 1998 to 2010 in the South African market. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/11468

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ndebele, Ndumiso. “3-month bond option strategies: an analysis of performance from 1998 to 2010 in the South African market.” 2011. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/11468.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ndebele, Ndumiso. “3-month bond option strategies: an analysis of performance from 1998 to 2010 in the South African market.” 2011. Web. 14 Dec 2019.

Vancouver:

Ndebele N. 3-month bond option strategies: an analysis of performance from 1998 to 2010 in the South African market. [Internet] [Thesis]. University of Cape Town; 2011. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/11468.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ndebele N. 3-month bond option strategies: an analysis of performance from 1998 to 2010 in the South African market. [Thesis]. University of Cape Town; 2011. Available from: http://hdl.handle.net/11427/11468

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

10. Bhyat, Aneez. An examination of liquidity risk and liquidity risk measures.

Degree: Image, School of Economics, 2010, University of Cape Town

 Liquidity risk represents a vacuum of rigour in the otherwise well-researched area of risk management. In both practice and theory most of finance is silent… (more)

Subjects/Keywords: Financial Mathematics

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APA (6th Edition):

Bhyat, A. (2010). An examination of liquidity risk and liquidity risk measures. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/10113

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Bhyat, Aneez. “An examination of liquidity risk and liquidity risk measures.” 2010. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/10113.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Bhyat, Aneez. “An examination of liquidity risk and liquidity risk measures.” 2010. Web. 14 Dec 2019.

Vancouver:

Bhyat A. An examination of liquidity risk and liquidity risk measures. [Internet] [Thesis]. University of Cape Town; 2010. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/10113.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bhyat A. An examination of liquidity risk and liquidity risk measures. [Thesis]. University of Cape Town; 2010. Available from: http://hdl.handle.net/11427/10113

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Pretoria

11. Taljaard, Byran Hugo. Investigating stochastic portfolio theory with applications to the South African equity market.

Degree: MSc, Mathematics and Applied Mathematics, 2015, University of Pretoria

 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… (more)

Subjects/Keywords: Financial Engineering; Applied Mathematics; UCTD

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APA (6th Edition):

Taljaard, B. H. (2015). Investigating stochastic portfolio theory with applications to the South African equity market. (Masters Thesis). University of Pretoria. Retrieved from http://hdl.handle.net/2263/42718

Chicago Manual of Style (16th Edition):

Taljaard, Byran Hugo. “Investigating stochastic portfolio theory with applications to the South African equity market.” 2015. Masters Thesis, University of Pretoria. Accessed December 14, 2019. http://hdl.handle.net/2263/42718.

MLA Handbook (7th Edition):

Taljaard, Byran Hugo. “Investigating stochastic portfolio theory with applications to the South African equity market.” 2015. Web. 14 Dec 2019.

Vancouver:

Taljaard BH. Investigating stochastic portfolio theory with applications to the South African equity market. [Internet] [Masters thesis]. University of Pretoria; 2015. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/2263/42718.

Council of Science Editors:

Taljaard BH. Investigating stochastic portfolio theory with applications to the South African equity market. [Masters Thesis]. University of Pretoria; 2015. Available from: http://hdl.handle.net/2263/42718


University of Cape Town

12. Masawi, Chipo. Two approaches to modelling the volatility skew.

Degree: Image, Mathematics and Applied Mathematics, 2008, University of Cape Town

 This study examines two approaches to modelling the volatility skew that is used to price options on the Johannesburg Stock Exchange (JSE) TOP40 index. The… (more)

Subjects/Keywords: Financial Mathematics

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APA (6th Edition):

Masawi, C. (2008). Two approaches to modelling the volatility skew. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/4908

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Masawi, Chipo. “Two approaches to modelling the volatility skew.” 2008. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/4908.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Masawi, Chipo. “Two approaches to modelling the volatility skew.” 2008. Web. 14 Dec 2019.

Vancouver:

Masawi C. Two approaches to modelling the volatility skew. [Internet] [Thesis]. University of Cape Town; 2008. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/4908.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Masawi C. Two approaches to modelling the volatility skew. [Thesis]. University of Cape Town; 2008. Available from: http://hdl.handle.net/11427/4908

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

13. Van Straaten, Conrad. Modern portfolio optimization using robust estimation techniques.

Degree: Image, Mathematics and Applied Mathematics, 2005, University of Cape Town

 Rather than following a normal distribution, share returns and market proxies have been shown to follow skewed distributions, with long tails in some cases. In… (more)

Subjects/Keywords: Financial Mathematics

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APA (6th Edition):

Van Straaten, C. (2005). Modern portfolio optimization using robust estimation techniques. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/4943

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Van Straaten, Conrad. “Modern portfolio optimization using robust estimation techniques.” 2005. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/4943.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Van Straaten, Conrad. “Modern portfolio optimization using robust estimation techniques.” 2005. Web. 14 Dec 2019.

Vancouver:

Van Straaten C. Modern portfolio optimization using robust estimation techniques. [Internet] [Thesis]. University of Cape Town; 2005. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/4943.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Van Straaten C. Modern portfolio optimization using robust estimation techniques. [Thesis]. University of Cape Town; 2005. Available from: http://hdl.handle.net/11427/4943

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

14. Sewnath, Neville. Pricing of credit risk and credit risk derivatives : from theory to implementation.

Degree: Image, Mathematics and Applied Mathematics, 2008, University of Cape Town

Includes abstract. Includes bibliographical references (leaves 223-230). Advisors/Committee Members: Abraham, Haim (advisor).

Subjects/Keywords: Financial Mathematics

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APA (6th Edition):

Sewnath, N. (2008). Pricing of credit risk and credit risk derivatives : from theory to implementation. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/5614

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Sewnath, Neville. “Pricing of credit risk and credit risk derivatives : from theory to implementation.” 2008. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/5614.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Sewnath, Neville. “Pricing of credit risk and credit risk derivatives : from theory to implementation.” 2008. Web. 14 Dec 2019.

Vancouver:

Sewnath N. Pricing of credit risk and credit risk derivatives : from theory to implementation. [Internet] [Thesis]. University of Cape Town; 2008. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/5614.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sewnath N. Pricing of credit risk and credit risk derivatives : from theory to implementation. [Thesis]. University of Cape Town; 2008. Available from: http://hdl.handle.net/11427/5614

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

15. Xue, Qifeng. Grey diffenrential equation modeling on stock prices.

Degree: Image, Mathematics and Applied Mathematics, 2005, University of Cape Town

Includes bibliographical references (leaves 110-111). Advisors/Committee Members: Guo, Renkuan (advisor).

Subjects/Keywords: Financial Mathematics

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APA (6th Edition):

Xue, Q. (2005). Grey diffenrential equation modeling on stock prices. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/4947

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Xue, Qifeng. “Grey diffenrential equation modeling on stock prices.” 2005. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/4947.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Xue, Qifeng. “Grey diffenrential equation modeling on stock prices.” 2005. Web. 14 Dec 2019.

Vancouver:

Xue Q. Grey diffenrential equation modeling on stock prices. [Internet] [Thesis]. University of Cape Town; 2005. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/4947.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Xue Q. Grey diffenrential equation modeling on stock prices. [Thesis]. University of Cape Town; 2005. Available from: http://hdl.handle.net/11427/4947

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

16. Knox, Sean D. Pricing 2-colour rainbows : nonparametric methods using copulae.

Degree: Image, School of Economics, 2005, University of Cape Town

 This paper investigates the use of copulae for non parametric pricing of multivariate contingent claims. Price estimates and no-arbitrage bounds for various types of two-colour… (more)

Subjects/Keywords: Financial Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Knox, S. D. (2005). Pricing 2-colour rainbows : nonparametric methods using copulae. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/11778

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Knox, Sean D. “Pricing 2-colour rainbows : nonparametric methods using copulae.” 2005. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/11778.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Knox, Sean D. “Pricing 2-colour rainbows : nonparametric methods using copulae.” 2005. Web. 14 Dec 2019.

Vancouver:

Knox SD. Pricing 2-colour rainbows : nonparametric methods using copulae. [Internet] [Thesis]. University of Cape Town; 2005. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/11778.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Knox SD. Pricing 2-colour rainbows : nonparametric methods using copulae. [Thesis]. University of Cape Town; 2005. Available from: http://hdl.handle.net/11427/11778

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

17. Jama, Siphamandla. An alternative model for multivariate stable distributions.

Degree: Image, Statistical Sciences, 2009, University of Cape Town

 As the title, "An Alternative Model for Multivariate Stable Distributions", depicts, this thesis draws from the methodology of [J36] and derives an alternative to the… (more)

Subjects/Keywords: Financial Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Jama, S. (2009). An alternative model for multivariate stable distributions. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/8959

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Jama, Siphamandla. “An alternative model for multivariate stable distributions.” 2009. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/8959.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Jama, Siphamandla. “An alternative model for multivariate stable distributions.” 2009. Web. 14 Dec 2019.

Vancouver:

Jama S. An alternative model for multivariate stable distributions. [Internet] [Thesis]. University of Cape Town; 2009. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/8959.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Jama S. An alternative model for multivariate stable distributions. [Thesis]. University of Cape Town; 2009. Available from: http://hdl.handle.net/11427/8959

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

18. Steyn, Dirk. Portfolio construction using index regression models.

Degree: Image, Mathematics and Applied Mathematics, 2008, University of Cape Town

 In this dissertation we review the Sharpe Index Model and an innovation on this model introduced by Hossain, Troskie and Guo (2005b). These models are… (more)

Subjects/Keywords: Financial Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Steyn, D. (2008). Portfolio construction using index regression models. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/4933

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Steyn, Dirk. “Portfolio construction using index regression models.” 2008. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/4933.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Steyn, Dirk. “Portfolio construction using index regression models.” 2008. Web. 14 Dec 2019.

Vancouver:

Steyn D. Portfolio construction using index regression models. [Internet] [Thesis]. University of Cape Town; 2008. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/4933.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Steyn D. Portfolio construction using index regression models. [Thesis]. University of Cape Town; 2008. Available from: http://hdl.handle.net/11427/4933

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

19. Ramsden, Bevan. Pricing options in a fuzzy environment.

Degree: Image, Mathematics and Applied Mathematics, 2008, University of Cape Town

 Although Fuzzy Logic is not new, it is however only since 2004 that an axiomatic theory has been created that has all the desirable effects… (more)

Subjects/Keywords: Financial Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Ramsden, B. (2008). Pricing options in a fuzzy environment. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/4924

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ramsden, Bevan. “Pricing options in a fuzzy environment.” 2008. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/4924.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ramsden, Bevan. “Pricing options in a fuzzy environment.” 2008. Web. 14 Dec 2019.

Vancouver:

Ramsden B. Pricing options in a fuzzy environment. [Internet] [Thesis]. University of Cape Town; 2008. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/4924.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ramsden B. Pricing options in a fuzzy environment. [Thesis]. University of Cape Town; 2008. Available from: http://hdl.handle.net/11427/4924

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

20. Kirk, Richard. Modelling seasonality in South African agricultural futures.

Degree: Image, School of Economics, 2007, University of Cape Town

 This study investigates the seasonality in agricultural commodity futures prices. Futures prices are modelled using the model developed by Sørensen (2002). The model defines the… (more)

Subjects/Keywords: Financial Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Kirk, R. (2007). Modelling seasonality in South African agricultural futures. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/11710

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kirk, Richard. “Modelling seasonality in South African agricultural futures.” 2007. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/11710.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kirk, Richard. “Modelling seasonality in South African agricultural futures.” 2007. Web. 14 Dec 2019.

Vancouver:

Kirk R. Modelling seasonality in South African agricultural futures. [Internet] [Thesis]. University of Cape Town; 2007. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/11710.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kirk R. Modelling seasonality in South African agricultural futures. [Thesis]. University of Cape Town; 2007. Available from: http://hdl.handle.net/11427/11710

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

21. De Swardt, N C. Bounds on baskets option prices.

Degree: Image, Mathematics and Applied Mathematics, 2005, University of Cape Town

 The celebrated Black-Scholes option pricing model is unable to produce closed-form solutions for arithmetic basket options. This problem stems from the lack of an analitical… (more)

Subjects/Keywords: Financial Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

De Swardt, N. C. (2005). Bounds on baskets option prices. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/4880

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

De Swardt, N C. “Bounds on baskets option prices.” 2005. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/4880.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

De Swardt, N C. “Bounds on baskets option prices.” 2005. Web. 14 Dec 2019.

Vancouver:

De Swardt NC. Bounds on baskets option prices. [Internet] [Thesis]. University of Cape Town; 2005. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/4880.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

De Swardt NC. Bounds on baskets option prices. [Thesis]. University of Cape Town; 2005. Available from: http://hdl.handle.net/11427/4880

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

22. Damaseb, W B. Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks.

Degree: Image, Mathematics and Applied Mathematics, 2005, University of Cape Town

 We study the feasihility of using a coherent monetary risk measure, Conditional Value at Risk (CVaR) also known as Expected Shortfall (ES), to optimise a… (more)

Subjects/Keywords: Financial Mathematics

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APA (6th Edition):

Damaseb, W. B. (2005). Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/4877

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Damaseb, W B. “Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks.” 2005. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/4877.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Damaseb, W B. “Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks.” 2005. Web. 14 Dec 2019.

Vancouver:

Damaseb WB. Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks. [Internet] [Thesis]. University of Cape Town; 2005. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/4877.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Damaseb WB. Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks. [Thesis]. University of Cape Town; 2005. Available from: http://hdl.handle.net/11427/4877

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cape Town

23. Mtemeri, Tinotenda. Modelling of volatility of stock prices using GARCH models & its importance in portfolio construction.

Degree: Image, Mathematics and Applied Mathematics, 2009, University of Cape Town

 This thesis is aimed at investigating the possibility to model the risk of stocks in financial markets and evaluating the adequacy and effectiveness of univariate… (more)

Subjects/Keywords: Financial Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Mtemeri, T. (2009). Modelling of volatility of stock prices using GARCH models & its importance in portfolio construction. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/8958

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Mtemeri, Tinotenda. “Modelling of volatility of stock prices using GARCH models & its importance in portfolio construction.” 2009. Thesis, University of Cape Town. Accessed December 14, 2019. http://hdl.handle.net/11427/8958.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Mtemeri, Tinotenda. “Modelling of volatility of stock prices using GARCH models & its importance in portfolio construction.” 2009. Web. 14 Dec 2019.

Vancouver:

Mtemeri T. Modelling of volatility of stock prices using GARCH models & its importance in portfolio construction. [Internet] [Thesis]. University of Cape Town; 2009. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/11427/8958.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mtemeri T. Modelling of volatility of stock prices using GARCH models & its importance in portfolio construction. [Thesis]. University of Cape Town; 2009. Available from: http://hdl.handle.net/11427/8958

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Deakin University

24. HASSAN, MARWA HASSAN ALY. Quantifying heteroskedasticity metrics.

Degree: 2016, Deakin University

 This study proposes a quantification measure for heteroskedasticity in the time series. Two methods are introduced for quantifying heteroskedasticity: Slope of Local Variance Index (SoLVI)… (more)

Subjects/Keywords: heteroskedasticity; Statistics; Mathematics; Financial forecasting

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APA (6th Edition):

HASSAN, M. H. A. (2016). Quantifying heteroskedasticity metrics. (Thesis). Deakin University. Retrieved from http://hdl.handle.net/10536/DRO/DU:30089384

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

HASSAN, MARWA HASSAN ALY. “Quantifying heteroskedasticity metrics.” 2016. Thesis, Deakin University. Accessed December 14, 2019. http://hdl.handle.net/10536/DRO/DU:30089384.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

HASSAN, MARWA HASSAN ALY. “Quantifying heteroskedasticity metrics.” 2016. Web. 14 Dec 2019.

Vancouver:

HASSAN MHA. Quantifying heteroskedasticity metrics. [Internet] [Thesis]. Deakin University; 2016. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/10536/DRO/DU:30089384.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

HASSAN MHA. Quantifying heteroskedasticity metrics. [Thesis]. Deakin University; 2016. Available from: http://hdl.handle.net/10536/DRO/DU:30089384

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Wisconsin – Milwaukee

25. Müller, Eric. Optimal Pairs Trading Rules.

Degree: MS, Mathematics, 2016, University of Wisconsin – Milwaukee

  This thesis derives an optimal trading rule for a pair of historically correlated stocks. When one stock's price increases and the other one's decreases,… (more)

Subjects/Keywords: Finance and Financial Management; Mathematics

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APA (6th Edition):

Müller, E. (2016). Optimal Pairs Trading Rules. (Thesis). University of Wisconsin – Milwaukee. Retrieved from https://dc.uwm.edu/etd/1183

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Müller, Eric. “Optimal Pairs Trading Rules.” 2016. Thesis, University of Wisconsin – Milwaukee. Accessed December 14, 2019. https://dc.uwm.edu/etd/1183.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Müller, Eric. “Optimal Pairs Trading Rules.” 2016. Web. 14 Dec 2019.

Vancouver:

Müller E. Optimal Pairs Trading Rules. [Internet] [Thesis]. University of Wisconsin – Milwaukee; 2016. [cited 2019 Dec 14]. Available from: https://dc.uwm.edu/etd/1183.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Müller E. Optimal Pairs Trading Rules. [Thesis]. University of Wisconsin – Milwaukee; 2016. Available from: https://dc.uwm.edu/etd/1183

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Illinois – Urbana-Champaign

26. Qin, Wei. Information, insider trading and takeover announcements.

Degree: PhD, Mathematics, 2017, University of Illinois – Urbana-Champaign

 This thesis focuses on the effect of takeover announcements in financial markets. We want to use a math model to analyze the inside traders' behavior… (more)

Subjects/Keywords: Financial mathematics; Applied mathematics; Probability; Markov chain

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APA (6th Edition):

Qin, W. (2017). Information, insider trading and takeover announcements. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/98288

Chicago Manual of Style (16th Edition):

Qin, Wei. “Information, insider trading and takeover announcements.” 2017. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed December 14, 2019. http://hdl.handle.net/2142/98288.

MLA Handbook (7th Edition):

Qin, Wei. “Information, insider trading and takeover announcements.” 2017. Web. 14 Dec 2019.

Vancouver:

Qin W. Information, insider trading and takeover announcements. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2017. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/2142/98288.

Council of Science Editors:

Qin W. Information, insider trading and takeover announcements. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2017. Available from: http://hdl.handle.net/2142/98288


Columbia University

27. Ward, Brian Michael. Optimal Dynamic Strategies for Index Tracking and Algorithmic Trading.

Degree: 2017, Columbia University

 In this thesis we study dynamic strategies for index tracking and algorithmic trading. Tracking problems have become ever more important in Financial Engineering as investors… (more)

Subjects/Keywords: Operations research; Mathematics; Finance; Financial engineering

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APA (6th Edition):

Ward, B. M. (2017). Optimal Dynamic Strategies for Index Tracking and Algorithmic Trading. (Doctoral Dissertation). Columbia University. Retrieved from https://doi.org/10.7916/D82F80R1

Chicago Manual of Style (16th Edition):

Ward, Brian Michael. “Optimal Dynamic Strategies for Index Tracking and Algorithmic Trading.” 2017. Doctoral Dissertation, Columbia University. Accessed December 14, 2019. https://doi.org/10.7916/D82F80R1.

MLA Handbook (7th Edition):

Ward, Brian Michael. “Optimal Dynamic Strategies for Index Tracking and Algorithmic Trading.” 2017. Web. 14 Dec 2019.

Vancouver:

Ward BM. Optimal Dynamic Strategies for Index Tracking and Algorithmic Trading. [Internet] [Doctoral dissertation]. Columbia University; 2017. [cited 2019 Dec 14]. Available from: https://doi.org/10.7916/D82F80R1.

Council of Science Editors:

Ward BM. Optimal Dynamic Strategies for Index Tracking and Algorithmic Trading. [Doctoral Dissertation]. Columbia University; 2017. Available from: https://doi.org/10.7916/D82F80R1


Iowa State University

28. Zheng, Yun. Asset pricing based on stochastic delay differential equations.

Degree: 2015, Iowa State University

 This dissertation studies stochastic delay differential equations (SDDEs), applies them to real market data, and compares them with classic models. In Chapter 2, we study… (more)

Subjects/Keywords: Applied Mathematics; Statistics; Finance and Financial Management; Mathematics; Statistics and Probability

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APA (6th Edition):

Zheng, Y. (2015). Asset pricing based on stochastic delay differential equations. (Thesis). Iowa State University. Retrieved from https://lib.dr.iastate.edu/etd/14433

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Zheng, Yun. “Asset pricing based on stochastic delay differential equations.” 2015. Thesis, Iowa State University. Accessed December 14, 2019. https://lib.dr.iastate.edu/etd/14433.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Zheng, Yun. “Asset pricing based on stochastic delay differential equations.” 2015. Web. 14 Dec 2019.

Vancouver:

Zheng Y. Asset pricing based on stochastic delay differential equations. [Internet] [Thesis]. Iowa State University; 2015. [cited 2019 Dec 14]. Available from: https://lib.dr.iastate.edu/etd/14433.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zheng Y. Asset pricing based on stochastic delay differential equations. [Thesis]. Iowa State University; 2015. Available from: https://lib.dr.iastate.edu/etd/14433

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Missouri University of Science and Technology

29. Goeggel, Mathias Christian. Closed-form solutions to discrete-time portfolio optimization problems.

Degree: M.S. in Applied Mathematics, Applied Mathematics, Missouri University of Science and Technology

 "In this work, we study some discrete time portfolio optimization problems. After a brief introduction of the corresponding continuous time models, we introduce the discrete… (more)

Subjects/Keywords: Financial mathematics; Applied Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Goeggel, M. C. (n.d.). Closed-form solutions to discrete-time portfolio optimization problems. (Masters Thesis). Missouri University of Science and Technology. Retrieved from http://scholarsmine.mst.edu/masters_theses/4769

Note: this citation may be lacking information needed for this citation format:
No year of publication.

Chicago Manual of Style (16th Edition):

Goeggel, Mathias Christian. “Closed-form solutions to discrete-time portfolio optimization problems.” Masters Thesis, Missouri University of Science and Technology. Accessed December 14, 2019. http://scholarsmine.mst.edu/masters_theses/4769.

Note: this citation may be lacking information needed for this citation format:
No year of publication.

MLA Handbook (7th Edition):

Goeggel, Mathias Christian. “Closed-form solutions to discrete-time portfolio optimization problems.” Web. 14 Dec 2019.

Note: this citation may be lacking information needed for this citation format:
No year of publication.

Vancouver:

Goeggel MC. Closed-form solutions to discrete-time portfolio optimization problems. [Internet] [Masters thesis]. Missouri University of Science and Technology; [cited 2019 Dec 14]. Available from: http://scholarsmine.mst.edu/masters_theses/4769.

Note: this citation may be lacking information needed for this citation format:
No year of publication.

Council of Science Editors:

Goeggel MC. Closed-form solutions to discrete-time portfolio optimization problems. [Masters Thesis]. Missouri University of Science and Technology; Available from: http://scholarsmine.mst.edu/masters_theses/4769

Note: this citation may be lacking information needed for this citation format:
No year of publication.


University of Nevada – Las Vegas

30. Cai, Jiacheng. Numerical Methods for Option Pricing under the Two-Factor Models.

Degree: PhD, Mathematical Sciences, 2017, University of Nevada – Las Vegas

  Pricing options under multi-factor models are challenging and important problems for financial applications. In particular, the closed form solutions are not available for the… (more)

Subjects/Keywords: Applied Mathematics; Corporate Finance; Finance; Finance and Financial Management; Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Cai, J. (2017). Numerical Methods for Option Pricing under the Two-Factor Models. (Doctoral Dissertation). University of Nevada – Las Vegas. Retrieved from https://digitalscholarship.unlv.edu/thesesdissertations/3072

Chicago Manual of Style (16th Edition):

Cai, Jiacheng. “Numerical Methods for Option Pricing under the Two-Factor Models.” 2017. Doctoral Dissertation, University of Nevada – Las Vegas. Accessed December 14, 2019. https://digitalscholarship.unlv.edu/thesesdissertations/3072.

MLA Handbook (7th Edition):

Cai, Jiacheng. “Numerical Methods for Option Pricing under the Two-Factor Models.” 2017. Web. 14 Dec 2019.

Vancouver:

Cai J. Numerical Methods for Option Pricing under the Two-Factor Models. [Internet] [Doctoral dissertation]. University of Nevada – Las Vegas; 2017. [cited 2019 Dec 14]. Available from: https://digitalscholarship.unlv.edu/thesesdissertations/3072.

Council of Science Editors:

Cai J. Numerical Methods for Option Pricing under the Two-Factor Models. [Doctoral Dissertation]. University of Nevada – Las Vegas; 2017. Available from: https://digitalscholarship.unlv.edu/thesesdissertations/3072

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