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You searched for subject:(Mathematical finance Finance Vanna Volga Finance Greeks Correction Volatility Numerical Finite Difference Calibration). Showing records 1 – 30 of 53665 total matches.

[1] [2] [3] [4] [5] … [1789]

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University of Oxford

1. Tao, Ming. Vanna-Volga and Karasinski Risk Correction Methods.

Degree: 2009, University of Oxford

 The Vanna-Volga (VV) method has been in wide use as one of the major tools for several years among foreign exchange (FX) trading desks. Despite… (more)

Subjects/Keywords: 519; Mathematical finance : Finance : Vanna-Volga : Finance : Greeks : Correction : Volatility : Numerical : Finite Difference : Calibration

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

APA (6th Edition):

Tao, M. (2009). Vanna-Volga and Karasinski Risk Correction Methods. (Doctoral Dissertation). University of Oxford. Retrieved from http://ora.ox.ac.uk/objects/uuid:13b26eac-8e60-4e5e-8645-007dbcc2b6e0 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.526121

Chicago Manual of Style (16th Edition):

Tao, Ming. “Vanna-Volga and Karasinski Risk Correction Methods.” 2009. Doctoral Dissertation, University of Oxford. Accessed December 12, 2019. http://ora.ox.ac.uk/objects/uuid:13b26eac-8e60-4e5e-8645-007dbcc2b6e0 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.526121.

MLA Handbook (7th Edition):

Tao, Ming. “Vanna-Volga and Karasinski Risk Correction Methods.” 2009. Web. 12 Dec 2019.

Vancouver:

Tao M. Vanna-Volga and Karasinski Risk Correction Methods. [Internet] [Doctoral dissertation]. University of Oxford; 2009. [cited 2019 Dec 12]. Available from: http://ora.ox.ac.uk/objects/uuid:13b26eac-8e60-4e5e-8645-007dbcc2b6e0 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.526121.

Council of Science Editors:

Tao M. Vanna-Volga and Karasinski Risk Correction Methods. [Doctoral Dissertation]. University of Oxford; 2009. Available from: http://ora.ox.ac.uk/objects/uuid:13b26eac-8e60-4e5e-8645-007dbcc2b6e0 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.526121


Washington State University

2. [No author]. Numerical Methods for American Option Pricing with Nonlinear Volatility .

Degree: 2015, Washington State University

 Options are a fundamental and important type of financial derivatives with stocks as the underlying asset. Investors frequently trade options, making option pricing an important… (more)

Subjects/Keywords: Mathematics; Finance; American option; Black-Scholes equation; finite difference scheme; Nonlinear volatility; numerical methods

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APA (6th Edition):

author], [. (2015). Numerical Methods for American Option Pricing with Nonlinear Volatility . (Thesis). Washington State University. Retrieved from http://hdl.handle.net/2376/5522

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):

author], [No. “Numerical Methods for American Option Pricing with Nonlinear Volatility .” 2015. Thesis, Washington State University. Accessed December 12, 2019. http://hdl.handle.net/2376/5522.

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

MLA Handbook (7th Edition):

author], [No. “Numerical Methods for American Option Pricing with Nonlinear Volatility .” 2015. Web. 12 Dec 2019.

Vancouver:

author] [. Numerical Methods for American Option Pricing with Nonlinear Volatility . [Internet] [Thesis]. Washington State University; 2015. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/2376/5522.

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

Council of Science Editors:

author] [. Numerical Methods for American Option Pricing with Nonlinear Volatility . [Thesis]. Washington State University; 2015. Available from: http://hdl.handle.net/2376/5522

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


University of Western Australia

3. Smith, Kurt. American binary FX options : from theoretical value to market price.

Degree: PhD, 2010, University of Western Australia

[Truncated abstract] There is no universally accepted benchmark model for pricing exotic FX options to market, such as that for European vanilla FX options. The… (more)

Subjects/Keywords: Exotic options (Finance); Risk-return relationships; Foreign exchange options; Hedging (Finance); Finance; Currency options; Binary; Vanna; Volga; Market value

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

APA (6th Edition):

Smith, K. (2010). American binary FX options : from theoretical value to market price. (Doctoral Dissertation). University of Western Australia. Retrieved from http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=29941&local_base=GEN01-INS01

Chicago Manual of Style (16th Edition):

Smith, Kurt. “American binary FX options : from theoretical value to market price.” 2010. Doctoral Dissertation, University of Western Australia. Accessed December 12, 2019. http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=29941&local_base=GEN01-INS01.

MLA Handbook (7th Edition):

Smith, Kurt. “American binary FX options : from theoretical value to market price.” 2010. Web. 12 Dec 2019.

Vancouver:

Smith K. American binary FX options : from theoretical value to market price. [Internet] [Doctoral dissertation]. University of Western Australia; 2010. [cited 2019 Dec 12]. Available from: http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=29941&local_base=GEN01-INS01.

Council of Science Editors:

Smith K. American binary FX options : from theoretical value to market price. [Doctoral Dissertation]. University of Western Australia; 2010. Available from: http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=29941&local_base=GEN01-INS01


University of St. Andrews

4. Tsujimoto, Tsunehiro. Calibration of the chaotic interest rate model .

Degree: 2010, University of St. Andrews

 In this thesis we establish a relationship between the Potential Approach to interest rates and the Market Models. This relationship allows us to derive the… (more)

Subjects/Keywords: Quantitative finance; Mathematical finance; Interest rate modelling; Potential approach; Stochastic volatility

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

APA (6th Edition):

Tsujimoto, T. (2010). Calibration of the chaotic interest rate model . (Thesis). University of St. Andrews. Retrieved from http://hdl.handle.net/10023/2568

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):

Tsujimoto, Tsunehiro. “Calibration of the chaotic interest rate model .” 2010. Thesis, University of St. Andrews. Accessed December 12, 2019. http://hdl.handle.net/10023/2568.

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

MLA Handbook (7th Edition):

Tsujimoto, Tsunehiro. “Calibration of the chaotic interest rate model .” 2010. Web. 12 Dec 2019.

Vancouver:

Tsujimoto T. Calibration of the chaotic interest rate model . [Internet] [Thesis]. University of St. Andrews; 2010. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/10023/2568.

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

Council of Science Editors:

Tsujimoto T. Calibration of the chaotic interest rate model . [Thesis]. University of St. Andrews; 2010. Available from: http://hdl.handle.net/10023/2568

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


University of Cape Town

5. Masutha, Ndinae Nico. Pricing swaptions on amortising swaps.

Degree: MPhil, African Institute of Financial Markets and Risk Management, 2018, University of Cape Town

 In this dissertation, two efficient approaches for pricing European options on amortising swaps are explored. The first approach is to decompose the pricing of a… (more)

Subjects/Keywords: Mathematical Finance

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

APA (6th Edition):

Masutha, N. N. (2018). Pricing swaptions on amortising swaps. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/29514

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):

Masutha, Ndinae Nico. “Pricing swaptions on amortising swaps.” 2018. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/29514.

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

MLA Handbook (7th Edition):

Masutha, Ndinae Nico. “Pricing swaptions on amortising swaps.” 2018. Web. 12 Dec 2019.

Vancouver:

Masutha NN. Pricing swaptions on amortising swaps. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/29514.

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

Council of Science Editors:

Masutha NN. Pricing swaptions on amortising swaps. [Thesis]. University of Cape Town; 2018. Available from: http://hdl.handle.net/11427/29514

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


University of Cape Town

6. Patel, Kavir. Employee Stock Option Valuation with Earnings-Based Vesting Condition.

Degree: MPhil, African Institute of Financial Markets and Risk Management, 2018, University of Cape Town

 The valuation of employee stock options has become a key requirement due to the rapid growth in the use of these options as a means… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Patel, K. (2018). Employee Stock Option Valuation with Earnings-Based Vesting Condition. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/29471

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):

Patel, Kavir. “Employee Stock Option Valuation with Earnings-Based Vesting Condition.” 2018. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/29471.

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

MLA Handbook (7th Edition):

Patel, Kavir. “Employee Stock Option Valuation with Earnings-Based Vesting Condition.” 2018. Web. 12 Dec 2019.

Vancouver:

Patel K. Employee Stock Option Valuation with Earnings-Based Vesting Condition. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/29471.

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

Council of Science Editors:

Patel K. Employee Stock Option Valuation with Earnings-Based Vesting Condition. [Thesis]. University of Cape Town; 2018. Available from: http://hdl.handle.net/11427/29471

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


University of Cape Town

7. Shaw, Matthew. Bid-Ask Spread Modelling in the South African Bond Market.

Degree: MPhil, African Institute of Financial Markets and Risk Management, 2018, University of Cape Town

 Pitsillis and Taylor (2014) calculate bid-ask spread estimates of South African government bonds over a single year, using the models of De Jong and Rindi… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Shaw, M. (2018). Bid-Ask Spread Modelling in the South African Bond Market. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/29480

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):

Shaw, Matthew. “Bid-Ask Spread Modelling in the South African Bond Market.” 2018. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/29480.

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

MLA Handbook (7th Edition):

Shaw, Matthew. “Bid-Ask Spread Modelling in the South African Bond Market.” 2018. Web. 12 Dec 2019.

Vancouver:

Shaw M. Bid-Ask Spread Modelling in the South African Bond Market. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/29480.

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

Council of Science Editors:

Shaw M. Bid-Ask Spread Modelling in the South African Bond Market. [Thesis]. University of Cape Town; 2018. Available from: http://hdl.handle.net/11427/29480

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


University of Cape Town

8. Oagile, Joel. Sequential Calibration of Asset Pricing Models to Option Prices.

Degree: MPhil, African Institute of Financial Markets and Risk Management, 2018, University of Cape Town

 This paper implements four calibration methods on stochastic volatility models. We estimate the latent state and parameters of the models using three non-linear filtering methods,… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Oagile, J. (2018). Sequential Calibration of Asset Pricing Models to Option Prices. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/29840

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):

Oagile, Joel. “Sequential Calibration of Asset Pricing Models to Option Prices.” 2018. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/29840.

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

MLA Handbook (7th Edition):

Oagile, Joel. “Sequential Calibration of Asset Pricing Models to Option Prices.” 2018. Web. 12 Dec 2019.

Vancouver:

Oagile J. Sequential Calibration of Asset Pricing Models to Option Prices. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/29840.

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

Council of Science Editors:

Oagile J. Sequential Calibration of Asset Pricing Models to Option Prices. [Thesis]. University of Cape Town; 2018. Available from: http://hdl.handle.net/11427/29840

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


University of Cape Town

9. Tokwe,Thabo. Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models.

Degree: MPhil, African Institute of Financial Markets and Risk Management, 2018, University of Cape Town

 When optimising the likelihood function one often encounters various stationary points and sometimes discontinuities in the parameter space (Gupta and Mehra, 1974). This is certainly… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Tokwe,Thabo. (2018). Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/29465

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

Chicago Manual of Style (16th Edition):

Tokwe,Thabo. “Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models.” 2018. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/29465.

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

MLA Handbook (7th Edition):

Tokwe,Thabo. “Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models.” 2018. Web. 12 Dec 2019.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Vancouver:

Tokwe,Thabo. Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/29465.

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

Council of Science Editors:

Tokwe,Thabo. Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models. [Thesis]. University of Cape Town; 2018. Available from: http://hdl.handle.net/11427/29465

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


University of Cape Town

10. Makhuvha, Vuyo. Quantifying the impact of adding an unlisted credit asset to a portfolio of listed credit assets.

Degree: Image, Division of Actuarial Science, 2017, University of Cape Town

 Skilled construction workers play a vital role in the delivery of construction projects. However, there has been report off their shortage within the Nigerian construction… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Makhuvha, V. (2017). Quantifying the impact of adding an unlisted credit asset to a portfolio of listed credit assets. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/27103

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):

Makhuvha, Vuyo. “Quantifying the impact of adding an unlisted credit asset to a portfolio of listed credit assets.” 2017. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/27103.

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

MLA Handbook (7th Edition):

Makhuvha, Vuyo. “Quantifying the impact of adding an unlisted credit asset to a portfolio of listed credit assets.” 2017. Web. 12 Dec 2019.

Vancouver:

Makhuvha V. Quantifying the impact of adding an unlisted credit asset to a portfolio of listed credit assets. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/27103.

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

Council of Science Editors:

Makhuvha V. Quantifying the impact of adding an unlisted credit asset to a portfolio of listed credit assets. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/27103

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


University of Cape Town

11. Muzenda, Nevison. Analysis of CDO tranche valuation and the 2008 credit crisis.

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

 The causes of the 2008 financial crisis were wide ranging. Some financial commentators have suggested there were significant inadequacies in the models used to price… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Muzenda, N. (2013). Analysis of CDO tranche valuation and the 2008 credit crisis. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/11093

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):

Muzenda, Nevison. “Analysis of CDO tranche valuation and the 2008 credit crisis.” 2013. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/11093.

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

MLA Handbook (7th Edition):

Muzenda, Nevison. “Analysis of CDO tranche valuation and the 2008 credit crisis.” 2013. Web. 12 Dec 2019.

Vancouver:

Muzenda N. Analysis of CDO tranche valuation and the 2008 credit crisis. [Internet] [Thesis]. University of Cape Town; 2013. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/11093.

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

Council of Science Editors:

Muzenda N. Analysis of CDO tranche valuation and the 2008 credit crisis. [Thesis]. University of Cape Town; 2013. Available from: http://hdl.handle.net/11427/11093

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


University of Cape Town

12. Holder, Nicole. Testing adaptive market efficiency under the assumption of stochastic volatility.

Degree: Image, Division of Actuarial Science, 2017, University of Cape Town

 This dissertation explores the adaptive market hypothesis (AMH) first proposed by Lo (2004) which incorporates the efficient market hypothesis (EMH) of Malkiel and Fama (1970)… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Holder, N. (2017). Testing adaptive market efficiency under the assumption of stochastic volatility. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/27101

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):

Holder, Nicole. “Testing adaptive market efficiency under the assumption of stochastic volatility.” 2017. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/27101.

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

MLA Handbook (7th Edition):

Holder, Nicole. “Testing adaptive market efficiency under the assumption of stochastic volatility.” 2017. Web. 12 Dec 2019.

Vancouver:

Holder N. Testing adaptive market efficiency under the assumption of stochastic volatility. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/27101.

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

Council of Science Editors:

Holder N. Testing adaptive market efficiency under the assumption of stochastic volatility. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/27101

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


University of Cape Town

13. Kooverjee, Jateen. Estimating credit default swap spreads from equity data.

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

 Corporate bonds are an attractive form of investment as they provide higher returns than government bonds. This increase in returns is usually associated with an… (more)

Subjects/Keywords: Mathematical Finance

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

APA (6th Edition):

Kooverjee, J. (2014). Estimating credit default swap spreads from equity data. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/8525

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):

Kooverjee, Jateen. “Estimating credit default swap spreads from equity data.” 2014. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/8525.

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

MLA Handbook (7th Edition):

Kooverjee, Jateen. “Estimating credit default swap spreads from equity data.” 2014. Web. 12 Dec 2019.

Vancouver:

Kooverjee J. Estimating credit default swap spreads from equity data. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/8525.

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

Council of Science Editors:

Kooverjee J. Estimating credit default swap spreads from equity data. [Thesis]. University of Cape Town; 2014. Available from: http://hdl.handle.net/11427/8525

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


University of Cape Town

14. Marufu, Humphery. Reinsurance and dividend management.

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

 In this dissertation we set to find the dual optimal policy of a dividend payout scheme for shareholders with a risk-averse utility function and the… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Marufu, H. (2014). Reinsurance and dividend management. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/13223

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):

Marufu, Humphery. “Reinsurance and dividend management.” 2014. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/13223.

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

MLA Handbook (7th Edition):

Marufu, Humphery. “Reinsurance and dividend management.” 2014. Web. 12 Dec 2019.

Vancouver:

Marufu H. Reinsurance and dividend management. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/13223.

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

Council of Science Editors:

Marufu H. Reinsurance and dividend management. [Thesis]. University of Cape Town; 2014. Available from: http://hdl.handle.net/11427/13223

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


University of Cape Town

15. Pillay, Aveshen. Extracting risk aversion estimates from option prices/implied volatility.

Degree: Image, Division of Actuarial Science, 2010, University of Cape Town

 The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Pillay, A. (2010). Extracting risk aversion estimates from option prices/implied volatility. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/11350

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):

Pillay, Aveshen. “Extracting risk aversion estimates from option prices/implied volatility.” 2010. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/11350.

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

MLA Handbook (7th Edition):

Pillay, Aveshen. “Extracting risk aversion estimates from option prices/implied volatility.” 2010. Web. 12 Dec 2019.

Vancouver:

Pillay A. Extracting risk aversion estimates from option prices/implied volatility. [Internet] [Thesis]. University of Cape Town; 2010. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/11350.

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

Council of Science Editors:

Pillay A. Extracting risk aversion estimates from option prices/implied volatility. [Thesis]. University of Cape Town; 2010. Available from: http://hdl.handle.net/11427/11350

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


University of Cape Town

16. Bailey, Geraldine. Robust portfolio construction controlling the alpha-weight angle.

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

 Estimation risk is widely seen to have a significant impact on mean-variance portfolios and is one of the major reasons the standard Markowitz theory has… (more)

Subjects/Keywords: Mathematical Finance

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

APA (6th Edition):

Bailey, G. (2013). Robust portfolio construction controlling the alpha-weight angle. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/5812

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):

Bailey, Geraldine. “Robust portfolio construction controlling the alpha-weight angle.” 2013. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/5812.

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

MLA Handbook (7th Edition):

Bailey, Geraldine. “Robust portfolio construction controlling the alpha-weight angle.” 2013. Web. 12 Dec 2019.

Vancouver:

Bailey G. Robust portfolio construction controlling the alpha-weight angle. [Internet] [Thesis]. University of Cape Town; 2013. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/5812.

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

Council of Science Editors:

Bailey G. Robust portfolio construction controlling the alpha-weight angle. [Thesis]. University of Cape Town; 2013. Available from: http://hdl.handle.net/11427/5812

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


University of Cape Town

17. McPetrie, Christopher Lindsay. Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation.

Degree: Image, Division of Actuarial Science, 2017, University of Cape Town

 This dissertation seeks to discuss the adjoint approach to solving affine recursion problems (ARPs) in the context of computing sensitivities of financial instruments. It is… (more)

Subjects/Keywords: Mathematical Finance

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

APA (6th Edition):

McPetrie, C. L. (2017). Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/25412

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):

McPetrie, Christopher Lindsay. “Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation.” 2017. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/25412.

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

MLA Handbook (7th Edition):

McPetrie, Christopher Lindsay. “Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation.” 2017. Web. 12 Dec 2019.

Vancouver:

McPetrie CL. Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/25412.

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

Council of Science Editors:

McPetrie CL. Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/25412

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


University of Cape Town

18. Crowther, Servaas Marcus. Modelling illiquid volatility skews.

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

 Most markets trade liquidly in options on the market index, in fact they often trade at a wide range of strike levels. Thus, using the… (more)

Subjects/Keywords: Mathematical Finance

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

APA (6th Edition):

Crowther, S. M. (2014). Modelling illiquid volatility skews. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/8529

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):

Crowther, Servaas Marcus. “Modelling illiquid volatility skews.” 2014. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/8529.

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

MLA Handbook (7th Edition):

Crowther, Servaas Marcus. “Modelling illiquid volatility skews.” 2014. Web. 12 Dec 2019.

Vancouver:

Crowther SM. Modelling illiquid volatility skews. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/8529.

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

Council of Science Editors:

Crowther SM. Modelling illiquid volatility skews. [Thesis]. University of Cape Town; 2014. Available from: http://hdl.handle.net/11427/8529

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


University of Cape Town

19. Uzera, Nehemia Puuaapo. A Descriptive analysis of the various sources of portfolio risk on the Namibian Stock Market.

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

 We conducted a study on the terrestrial small mammal communities (< 1kg) in the Volcanoes National Park (VNP), Rwanda, to determine species diversity and altitudinal/habitat… (more)

Subjects/Keywords: Mathematical Finance

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

APA (6th Edition):

Uzera, N. P. (2010). A Descriptive analysis of the various sources of portfolio risk on the Namibian Stock Market. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/4939

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):

Uzera, Nehemia Puuaapo. “A Descriptive analysis of the various sources of portfolio risk on the Namibian Stock Market.” 2010. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/4939.

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

MLA Handbook (7th Edition):

Uzera, Nehemia Puuaapo. “A Descriptive analysis of the various sources of portfolio risk on the Namibian Stock Market.” 2010. Web. 12 Dec 2019.

Vancouver:

Uzera NP. A Descriptive analysis of the various sources of portfolio risk on the Namibian Stock Market. [Internet] [Thesis]. University of Cape Town; 2010. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/4939.

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

Council of Science Editors:

Uzera NP. A Descriptive analysis of the various sources of portfolio risk on the Namibian Stock Market. [Thesis]. University of Cape Town; 2010. Available from: http://hdl.handle.net/11427/4939

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


University of Cape Town

20. Mvubu, Thokozani. Portfolio constuction using robust weight functions.

Degree: Image, Division of Actuarial Science, 2010, University of Cape Town

 The Markowitz portfolio selection model has formed the foundation from which all the other portfolio selection models are formulated. The Sharpe Single Index and the… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Mvubu, T. (2010). Portfolio constuction using robust weight functions. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/5807

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):

Mvubu, Thokozani. “Portfolio constuction using robust weight functions.” 2010. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/5807.

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

MLA Handbook (7th Edition):

Mvubu, Thokozani. “Portfolio constuction using robust weight functions.” 2010. Web. 12 Dec 2019.

Vancouver:

Mvubu T. Portfolio constuction using robust weight functions. [Internet] [Thesis]. University of Cape Town; 2010. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/5807.

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

Council of Science Editors:

Mvubu T. Portfolio constuction using robust weight functions. [Thesis]. University of Cape Town; 2010. Available from: http://hdl.handle.net/11427/5807

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


University of Cape Town

21. Marks, Dean. Monte Carlo methods for the estimation of value-at-risk and related risk measures.

Degree: Image, Division of Actuarial Science, 2011, University of Cape Town

 Nested Monte Carlo is a computationally expensive exercise. The main contributions we present in this thesis are the formulation of efficient algorithms to perform nested… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Marks, D. (2011). Monte Carlo methods for the estimation of value-at-risk and related risk measures. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/10966

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):

Marks, Dean. “Monte Carlo methods for the estimation of value-at-risk and related risk measures.” 2011. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/10966.

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

MLA Handbook (7th Edition):

Marks, Dean. “Monte Carlo methods for the estimation of value-at-risk and related risk measures.” 2011. Web. 12 Dec 2019.

Vancouver:

Marks D. Monte Carlo methods for the estimation of value-at-risk and related risk measures. [Internet] [Thesis]. University of Cape Town; 2011. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/10966.

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

Council of Science Editors:

Marks D. Monte Carlo methods for the estimation of value-at-risk and related risk measures. [Thesis]. University of Cape Town; 2011. Available from: http://hdl.handle.net/11427/10966

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


University of Cape Town

22. Haddad, Zavier. Value-add in technical analysis on the JSE Bond Market.

Degree: Image, Division of Actuarial Science, 2017, University of Cape Town

 Trading on the JSE Bond Market is still done in an archaic fashion when compared to the highly digitalised trading done within the equities markets… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Haddad, Z. (2017). Value-add in technical analysis on the JSE Bond Market. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/26864

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):

Haddad, Zavier. “Value-add in technical analysis on the JSE Bond Market.” 2017. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/26864.

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

MLA Handbook (7th Edition):

Haddad, Zavier. “Value-add in technical analysis on the JSE Bond Market.” 2017. Web. 12 Dec 2019.

Vancouver:

Haddad Z. Value-add in technical analysis on the JSE Bond Market. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/26864.

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

Council of Science Editors:

Haddad Z. Value-add in technical analysis on the JSE Bond Market. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/26864

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


University of Cape Town

23. Mazviona, Batsirai Winmore. Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution.

Degree: Image, Statistical Sciences, 2012, University of Cape Town

 This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution. The model… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Mazviona, B. W. (2012). Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/12344

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):

Mazviona, Batsirai Winmore. “Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution.” 2012. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/12344.

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

MLA Handbook (7th Edition):

Mazviona, Batsirai Winmore. “Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution.” 2012. Web. 12 Dec 2019.

Vancouver:

Mazviona BW. Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution. [Internet] [Thesis]. University of Cape Town; 2012. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/12344.

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

Council of Science Editors:

Mazviona BW. Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution. [Thesis]. University of Cape Town; 2012. Available from: http://hdl.handle.net/11427/12344

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


University of Cape Town

24. Van der Merwe, Justin. Pricing index-linked catastrophe bonds via Monte Carlo simulation.

Degree: Image, Division of Actuarial Science, 2016, University of Cape Town

 The pricing framework used in this dissertation allows for the specification of catastrophe risk under the real-world measure. This gives the user a great deal… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Van der Merwe, J. (2016). Pricing index-linked catastrophe bonds via Monte Carlo simulation. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/20647

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 der Merwe, Justin. “Pricing index-linked catastrophe bonds via Monte Carlo simulation.” 2016. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/20647.

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

MLA Handbook (7th Edition):

Van der Merwe, Justin. “Pricing index-linked catastrophe bonds via Monte Carlo simulation.” 2016. Web. 12 Dec 2019.

Vancouver:

Van der Merwe J. Pricing index-linked catastrophe bonds via Monte Carlo simulation. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/20647.

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

Council of Science Editors:

Van der Merwe J. Pricing index-linked catastrophe bonds via Monte Carlo simulation. [Thesis]. University of Cape Town; 2016. Available from: http://hdl.handle.net/11427/20647

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


University of Cape Town

25. Dube, Tinashe Alison. Ex-ante evaluation of investment performance fees using spread options.

Degree: Image, Division of Actuarial Science, 2017, University of Cape Town

 This dissertation analyses ex-ante asymmetric performance fee structures used by South African Mutual Funds and estimates performance fees some time before the fees are paid.… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Dube, T. A. (2017). Ex-ante evaluation of investment performance fees using spread options. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/27070

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):

Dube, Tinashe Alison. “Ex-ante evaluation of investment performance fees using spread options.” 2017. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/27070.

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

MLA Handbook (7th Edition):

Dube, Tinashe Alison. “Ex-ante evaluation of investment performance fees using spread options.” 2017. Web. 12 Dec 2019.

Vancouver:

Dube TA. Ex-ante evaluation of investment performance fees using spread options. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/27070.

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

Council of Science Editors:

Dube TA. Ex-ante evaluation of investment performance fees using spread options. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/27070

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


University of Cape Town

26. Sender, Nina Alexandra. Multi-curve bootstrapping and implied discounting curves in illiquid markets.

Degree: Image, Division of Actuarial Science, 2017, University of Cape Town

 The credit and liquidity crisis of 2007 has triggered a number of inconsistencies in the interest rate market, questioning some of the standard methods and… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Sender, N. A. (2017). Multi-curve bootstrapping and implied discounting curves in illiquid markets. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/25447

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):

Sender, Nina Alexandra. “Multi-curve bootstrapping and implied discounting curves in illiquid markets.” 2017. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/25447.

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

MLA Handbook (7th Edition):

Sender, Nina Alexandra. “Multi-curve bootstrapping and implied discounting curves in illiquid markets.” 2017. Web. 12 Dec 2019.

Vancouver:

Sender NA. Multi-curve bootstrapping and implied discounting curves in illiquid markets. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/25447.

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

Council of Science Editors:

Sender NA. Multi-curve bootstrapping and implied discounting curves in illiquid markets. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/25447

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


University of Cape Town

27. Rwexana, Kwaku. Pricing a Bermudan option under the constant elasticity of variance model.

Degree: Image, Division of Actuarial Science, 2017, University of Cape Town

 This dissertation investigates the computational efficiency and accuracy of three methodologies in the pricing of a Bermudan option, under the constant elasticity of variance (CEV)… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Rwexana, K. (2017). Pricing a Bermudan option under the constant elasticity of variance model. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/27374

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):

Rwexana, Kwaku. “Pricing a Bermudan option under the constant elasticity of variance model.” 2017. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/27374.

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

MLA Handbook (7th Edition):

Rwexana, Kwaku. “Pricing a Bermudan option under the constant elasticity of variance model.” 2017. Web. 12 Dec 2019.

Vancouver:

Rwexana K. Pricing a Bermudan option under the constant elasticity of variance model. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/27374.

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

Council of Science Editors:

Rwexana K. Pricing a Bermudan option under the constant elasticity of variance model. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/27374

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


University of Cape Town

28. Hutheram, Nikhil Arnaidas. A comparative analysis of non-linear techniques in South African stock selection.

Degree: Image, Division of Actuarial Science, 2015, University of Cape Town

 Forecasting stock performance has long been one of the primary objectives of financial practitioners. Literature has shown that the classical linear approach to modelling the… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Hutheram, N. A. (2015). A comparative analysis of non-linear techniques in South African stock selection. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/15732

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):

Hutheram, Nikhil Arnaidas. “A comparative analysis of non-linear techniques in South African stock selection.” 2015. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/15732.

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

MLA Handbook (7th Edition):

Hutheram, Nikhil Arnaidas. “A comparative analysis of non-linear techniques in South African stock selection.” 2015. Web. 12 Dec 2019.

Vancouver:

Hutheram NA. A comparative analysis of non-linear techniques in South African stock selection. [Internet] [Thesis]. University of Cape Town; 2015. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/15732.

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

Council of Science Editors:

Hutheram NA. A comparative analysis of non-linear techniques in South African stock selection. [Thesis]. University of Cape Town; 2015. Available from: http://hdl.handle.net/11427/15732

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


University of Cape Town

29. Dalton, Rowan. Modelling stochastic multi-curve basis.

Degree: Image, Division of Actuarial Science, 2017, University of Cape Town

 As a consequence of the 2007 financial crisis, the market has shifted towards a multi-curve approach in modelling the prevailing interest rate environment. Currently, there… (more)

Subjects/Keywords: Mathematical Finance

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APA (6th Edition):

Dalton, R. (2017). Modelling stochastic multi-curve basis. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/27102

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):

Dalton, Rowan. “Modelling stochastic multi-curve basis.” 2017. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/27102.

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

MLA Handbook (7th Edition):

Dalton, Rowan. “Modelling stochastic multi-curve basis.” 2017. Web. 12 Dec 2019.

Vancouver:

Dalton R. Modelling stochastic multi-curve basis. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/27102.

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

Council of Science Editors:

Dalton R. Modelling stochastic multi-curve basis. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/27102

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


University of Cape Town

30. Duyvené de Wit, Jean-Jacques. Statistical arbitrage in South Africa.

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

 This study investigates the performance of a statistical arbitrage portfolio in the South African equity markets. A portfolio of liquid stock pairs that exhibit cointegration… (more)

Subjects/Keywords: Mathematical Finance

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

APA (6th Edition):

Duyvené de Wit, J. (2014). Statistical arbitrage in South Africa. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/18603

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):

Duyvené de Wit, Jean-Jacques. “Statistical arbitrage in South Africa.” 2014. Thesis, University of Cape Town. Accessed December 12, 2019. http://hdl.handle.net/11427/18603.

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

MLA Handbook (7th Edition):

Duyvené de Wit, Jean-Jacques. “Statistical arbitrage in South Africa.” 2014. Web. 12 Dec 2019.

Vancouver:

Duyvené de Wit J. Statistical arbitrage in South Africa. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Dec 12]. Available from: http://hdl.handle.net/11427/18603.

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

Council of Science Editors:

Duyvené de Wit J. Statistical arbitrage in South Africa. [Thesis]. University of Cape Town; 2014. Available from: http://hdl.handle.net/11427/18603

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

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