subject:(Mathematical finance Finance Vanna Volga Finance Greeks Correction Volatility Numerical Finite Difference Calibration)

University of Oxford

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

Degree: 2009, University of Oxford

URL: http://ora.ox.ac.uk/objects/uuid:13b26eac-8e60-4e5e-8645-007dbcc2b6e0 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.526121

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/2376/5522

► 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)

▼ 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 research area in both finance and applied mathematics. There exist mathematical models describing option pricing, amongst which the best known model is the Black-Scholes Equation. The Black-Scholes Equation is a parabolic PDE on the option price as a function of stock price and time. The volatility is one of the crucial parameters in the Black-Scholes Equation with a great impact on the behavior of the option price. Most existing works in this area focus on the cases where the volatility is either a constant or a deterministic function of stock price and time. However, in real markets, such presumptions rarely hold. In this dissertation, we concentrate on the theoretical modeling and the numerical computations for the Black-Scholes Equation with uncertain and nonlinear volatility. First, we introduce a theoretical model for uncertain volatility. We derive several properties of the solutions to the Black-Scholes Equation with uncertain volatility based on the maximum principle of parabolic PDE initial boundary value problems. For American options, the global spread for the option price is proved when the volatility depends on the underlying security and time. This result is confirmed by the observed real financial data in option markets. The Black-Scholes Equation for American options is not readily solvable for exact solutions. It is imperative to study the numerical solutions to the Black-Scholes Equation for American options. Next, we introduce two mixed-type finite difference schemes for solving such equations with nonlinear volatility. We compare these schemes with the well-known explicit and implicit finite difference schemes by implementing the algorithms and running experiments. This dissertation is organized as follows: Chapter 1 is an introduction to option pricing theory; Chapter 2 focuses on theoretical model of uncertain volatility; Chapter 3 introduces the numerical methods; Chapter 4 shows the experiment results; Chapter 5 summarizes the work and points out some future research directions.

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

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APA (6^th 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 (16^th 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 (7^th 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

URL: http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=29941&local_base=GEN01-INS01

►

[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)

▼

[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 use of not only different models but also of different methodologies, results in widely dispersed model-dependent exotic option prices for any given set of market and contract inputs. The severity of the resultant model price dispersion is strong evidence of model risk. Model risk is especially acute for price-makers in sell-side banks who, owing to the heterogeneity of over-the-counter (OTC) exotic options, do not have actual traded daily closing mark-to-market prices for all exotic options in their book, and so must mark-to-model instead. If the model does not perform well, it will not reflect market reality, and neither will the reported daily profit and loss. Given that sell-side banks use models throughout the price-making process, from pricing market risk to identifying hedging strategies, defining risk limits, reporting to key stakeholders internally and externally, as well as determining trader bonuses and Basel II capital retention levels, model risk is an important consideration in the OTC exotic option space. The orthodox response to model risk is price centric. Orthodoxy develops models that rely on complex and esoteric mathematics in order to improve pricing accuracy, even if it results in models that are opaque and inaccessible to most price-makers and risk managers who use them. In contrast, this research focuses on hedging strategies. This is because price-makers, irrespective of the model used to price, hedge unwanted imbalances in exotic FX option risk with liquid, traded European vanilla FX option strategies like butterflies and risk reversals.

Since price-maker hedging activity is relatively model-independent, whereas price is highly model-dependent, it follows that the actual hedging behaviour of price-makers should dictate the form of the pricing model if model risk is to be minimised. In this context, the traded vanilla volatility surface is only relevant to exotic option prices insofar as it prices the cost of a traded hedge. Since it is not possible, let alone practical to trade a whole-of-volatility-surface hedge, there is no economic substance to bind orthodoxy’s whole-of-volatility-surface calibrations to traded exotic option prices. This research presents a variant of the vanna-volga model which, in addition to pricing smile risk and skew risk, also prices term risk, which is the risk that an exotic option terminates prior to expiry owing to the spot price trading at or through a barrier price. The model presented here uniquely prices to market the cost of a European vanilla FX option hedge portfolio that matures at the exotic FX option’s expected stopping time, instead of at the expiration date like other vanna-volga models. By expiring at the exotic option’s expected stopping time, the hedge uniquely prices the non-trivial term structure that is present not only in the level of volatility, but also in its smile and skew. Why…

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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/10023/2568

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/29514

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/29471

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/29480

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

APA (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/29840

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

APA (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/29465

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

APA (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/27103

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/11093

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/27101

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/8525

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/13223

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/11350

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/5812

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/25412

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/8529

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/4939

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/5807

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/10966

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

APA (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/26864

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/12344

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

APA (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/20647

► 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)

▼ 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 of freedom in the assumptions made about the underlying catastrophe risk process (referred to in this dissertation as the aggregate loss process). Therefore, this dissertation aims to shed light on the effect of various assumptions and considerations on index-linked CAT bond prices based on the Property Claims Services (PCS) index. Also, given the lack of a closed-form solution to the pricing formulae used and the lack of a liquidly-traded secondary market, this dissertation compares two approximation methods to evaluate expressions involving the aggregate loss process: Monte Carlo simulation and a mixed-approximation method. The two price-approximation methods are largely consistent and seem to agree particularly in the upper quantiles of the distribution of the aggregate loss process. Another key consideration is that the third-party estimating the catastrophe losses in North America, PCS, only records catastrophe losses above $25 million. This dissertation therefore also explores the issue of left-truncated data and its effect when estimating the parameters of the aggregate loss process. For this purpose, it introduces a non-parametric approach to compare, in sample, the results of ignoring the threshold and taking it into account. In both these exercises, it becomes apparent that very heavy-tailed distributions need to be used with caution. In the former case, the use of very heavy-tailed distributions places restrictions on the distributions that can be used for the mixed-approximation method. Finally, as a more realistic avenue this dissertation proposes a simple stochastic intensity model to compare with the deterministic intensity model and found that, by parsimony, the deterministic intensity seems to provide a reasonable model for the upper quantiles of the aggregate loss process. The key results of this dissertation are that the pricing of CAT bonds depends on the quantiles of the aggregate loss process, as in evident both when comparing the approximation methods and the deterministic and stochastic intensity functions, and that left-truncation should be taken into account when valuing index-linked CAT bonds using data from PCS. Advisors/Committee Members: Giuricich, Mario Nicolo (advisor), Ouwehand, Peter (advisor).

Subjects/Keywords: Mathematical Finance

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

APA (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/27070

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/25447

► 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 (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/27374

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

APA (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/15732

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

APA (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/27102

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

APA (6^th 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 (16^th 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 (7^th 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

URL: http://hdl.handle.net/11427/18603

► 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

Record Details Similar Records Cite « Share

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

APA (6^th 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 (16^th 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 (7^th 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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Open Access Theses and Dissertations