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- University of Cape Town (84)
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University of Cape Town

1. 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

Record Details Similar Records

❌

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

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 November 11, 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. 11 Nov 2019.

Vancouver:

Masutha NN. Pricing swaptions on amortising swaps. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Nov 11]. 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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

2. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/29471.

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. 11 Nov 2019.

Vancouver:

Patel K. Employee Stock Option Valuation with Earnings-Based Vesting Condition. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/29471.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

3. 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

Record Details Similar Records

❌

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

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 November 11, 2019. http://hdl.handle.net/11427/29480.

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. 11 Nov 2019.

Vancouver:

Shaw M. Bid-Ask Spread Modelling in the South African Bond Market. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/29480.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

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

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

Record Details Similar Records

❌

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

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 November 11, 2019. http://hdl.handle.net/11427/29840.

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. 11 Nov 2019.

Vancouver:

Oagile J. Sequential Calibration of Asset Pricing Models to Option Prices. [Internet] [Thesis]. University of Cape Town; 2018. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/29840.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

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

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

Record Details Similar Records

❌

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 November 11, 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. 11 Nov 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 Nov 11]. 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

Author name may be incomplete

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

6. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/27103.

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. 11 Nov 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 Nov 11]. Available from: http://hdl.handle.net/11427/27103.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

7. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/11093.

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. 11 Nov 2019.

Vancouver:

Muzenda N. Analysis of CDO tranche valuation and the 2008 credit crisis. [Internet] [Thesis]. University of Cape Town; 2013. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/11093.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

8. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/27101.

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. 11 Nov 2019.

Vancouver:

Holder N. Testing adaptive market efficiency under the assumption of stochastic volatility. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/27101.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

9. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/8525.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Kooverjee, Jateen. “Estimating credit default swap spreads from equity data.” 2014. Web. 11 Nov 2019.

Vancouver:

Kooverjee J. Estimating credit default swap spreads from equity data. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/8525.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

10. 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

Record Details Similar Records

❌

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

APA (6^{th} Edition):

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

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 November 11, 2019. http://hdl.handle.net/11427/13223.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Marufu, Humphery. “Reinsurance and dividend management.” 2014. Web. 11 Nov 2019.

Vancouver:

Marufu H. Reinsurance and dividend management. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/13223.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

11. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/11350.

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. 11 Nov 2019.

Vancouver:

Pillay A. Extracting risk aversion estimates from option prices/implied volatility. [Internet] [Thesis]. University of Cape Town; 2010. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/11350.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

12. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/5812.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Bailey, Geraldine. “Robust portfolio construction controlling the alpha-weight angle.” 2013. Web. 11 Nov 2019.

Vancouver:

Bailey G. Robust portfolio construction controlling the alpha-weight angle. [Internet] [Thesis]. University of Cape Town; 2013. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/5812.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

13. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/25412.

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. 11 Nov 2019.

Vancouver:

McPetrie CL. Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/25412.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

14. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/8529.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Crowther, Servaas Marcus. “Modelling illiquid volatility skews.” 2014. Web. 11 Nov 2019.

Vancouver:

Crowther SM. Modelling illiquid volatility skews. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/8529.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

15. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/4939.

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. 11 Nov 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 Nov 11]. Available from: http://hdl.handle.net/11427/4939.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

16. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/5807.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Mvubu, Thokozani. “Portfolio constuction using robust weight functions.” 2010. Web. 11 Nov 2019.

Vancouver:

Mvubu T. Portfolio constuction using robust weight functions. [Internet] [Thesis]. University of Cape Town; 2010. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/5807.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

17. 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

Record Details Similar Records

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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

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 November 11, 2019. http://hdl.handle.net/11427/10966.

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. 11 Nov 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 Nov 11]. Available from: http://hdl.handle.net/11427/10966.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

18. 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

Record Details Similar Records

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

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

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 November 11, 2019. http://hdl.handle.net/11427/26864.

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. 11 Nov 2019.

Vancouver:

Haddad Z. Value-add in technical analysis on the JSE Bond Market. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/26864.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

19. 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

Record Details Similar Records

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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

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 November 11, 2019. http://hdl.handle.net/11427/12344.

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. 11 Nov 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 Nov 11]. Available from: http://hdl.handle.net/11427/12344.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

20. 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)

Subjects/Keywords: Mathematical Finance

Record Details Similar Records

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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

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 November 11, 2019. http://hdl.handle.net/11427/20647.

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. 11 Nov 2019.

Vancouver:

Van der Merwe J. Pricing index-linked catastrophe bonds via Monte Carlo simulation. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/20647.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

21. 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

Record Details Similar Records

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

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

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 November 11, 2019. http://hdl.handle.net/11427/27070.

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. 11 Nov 2019.

Vancouver:

Dube TA. Ex-ante evaluation of investment performance fees using spread options. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/27070.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

22. 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

Record Details Similar Records

❌

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

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

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 November 11, 2019. http://hdl.handle.net/11427/25447.

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. 11 Nov 2019.

Vancouver:

Sender NA. Multi-curve bootstrapping and implied discounting curves in illiquid markets. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/25447.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

23. 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

Record Details Similar Records

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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

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 November 11, 2019. http://hdl.handle.net/11427/27374.

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. 11 Nov 2019.

Vancouver:

Rwexana K. Pricing a Bermudan option under the constant elasticity of variance model. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/27374.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

24. 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

Record Details Similar Records

❌

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

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 November 11, 2019. http://hdl.handle.net/11427/15732.

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. 11 Nov 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 Nov 11]. Available from: http://hdl.handle.net/11427/15732.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

25. 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

Record Details Similar Records

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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

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 November 11, 2019. http://hdl.handle.net/11427/27102.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Dalton, Rowan. “Modelling stochastic multi-curve basis.” 2017. Web. 11 Nov 2019.

Vancouver:

Dalton R. Modelling stochastic multi-curve basis. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/27102.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

26. 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

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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

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 November 11, 2019. http://hdl.handle.net/11427/18603.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Duyvené de Wit, Jean-Jacques. “Statistical arbitrage in South Africa.” 2014. Web. 11 Nov 2019.

Vancouver:

Duyvené de Wit J. Statistical arbitrage in South Africa. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/18603.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

27. Schumann, Gareth William. Trolle-Schwartz HJM interest rate model.

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

URL: http://hdl.handle.net/11427/23030

► The Trolle and Schwartz (2009) interest rate model prices interest rate derivatives in a generalised stochastic volatility framework. It is a reformulation of the multifactor…
(more)

Subjects/Keywords: Mathematical Finance

Record Details Similar Records

❌

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

APA (6^{th} Edition):

Schumann, G. W. (2016). Trolle-Schwartz HJM interest rate model. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/23030

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Schumann, Gareth William. “Trolle-Schwartz HJM interest rate model.” 2016. Thesis, University of Cape Town. Accessed November 11, 2019. http://hdl.handle.net/11427/23030.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Schumann, Gareth William. “Trolle-Schwartz HJM interest rate model.” 2016. Web. 11 Nov 2019.

Vancouver:

Schumann GW. Trolle-Schwartz HJM interest rate model. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/23030.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Schumann GW. Trolle-Schwartz HJM interest rate model. [Thesis]. University of Cape Town; 2016. Available from: http://hdl.handle.net/11427/23030

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

28. MacDevette, Ciaran. An Empirical investigation of the value of High and Low price data to Modern Portfolio Theory.

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

URL: http://hdl.handle.net/11427/5808

► It is common practice to use the return series from closing prices in order to estimate the values of variables to be used in Modern…
(more)

Subjects/Keywords: Mathematical Finance

Record Details Similar Records

❌

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

APA (6^{th} Edition):

MacDevette, C. (2010). An Empirical investigation of the value of High and Low price data to Modern Portfolio Theory. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/5808

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

MacDevette, Ciaran. “An Empirical investigation of the value of High and Low price data to Modern Portfolio Theory.” 2010. Thesis, University of Cape Town. Accessed November 11, 2019. http://hdl.handle.net/11427/5808.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

MacDevette, Ciaran. “An Empirical investigation of the value of High and Low price data to Modern Portfolio Theory.” 2010. Web. 11 Nov 2019.

Vancouver:

MacDevette C. An Empirical investigation of the value of High and Low price data to Modern Portfolio Theory. [Internet] [Thesis]. University of Cape Town; 2010. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/5808.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

MacDevette C. An Empirical investigation of the value of High and Low price data to Modern Portfolio Theory. [Thesis]. University of Cape Town; 2010. Available from: http://hdl.handle.net/11427/5808

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

29. Hossain, Mahzabeen Natasha. Hedge fund of funds investment process : a South African perspective.

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

URL: http://hdl.handle.net/11427/8528

► The objective of this dissertation is to develop and test an investment process for hedge fund of funds (HFoFs) in South Africa. The dissertation proposes…
(more)

Subjects/Keywords: Mathematical Finance

Record Details Similar Records

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

APA (6^{th} Edition):

Hossain, M. N. (2014). Hedge fund of funds investment process : a South African perspective. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/8528

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Hossain, Mahzabeen Natasha. “Hedge fund of funds investment process : a South African perspective.” 2014. Thesis, University of Cape Town. Accessed November 11, 2019. http://hdl.handle.net/11427/8528.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Hossain, Mahzabeen Natasha. “Hedge fund of funds investment process : a South African perspective.” 2014. Web. 11 Nov 2019.

Vancouver:

Hossain MN. Hedge fund of funds investment process : a South African perspective. [Internet] [Thesis]. University of Cape Town; 2014. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/8528.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hossain MN. Hedge fund of funds investment process : a South African perspective. [Thesis]. University of Cape Town; 2014. Available from: http://hdl.handle.net/11427/8528

Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

30. Van Heeswijk, Dirk. Bootstrapping the OIS curve in a South African bank.

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

URL: http://hdl.handle.net/11427/27104

► The financial crisis in 2007 highlighted the credit and liquidity risk present in interbank (LIBOR) rates, and resulted in changes to the pricing and valuation…
(more)

Subjects/Keywords: Mathematical Finance

Record Details Similar Records

❌

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

APA (6^{th} Edition):

Van Heeswijk, D. (2017). Bootstrapping the OIS curve in a South African bank. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/27104

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Van Heeswijk, Dirk. “Bootstrapping the OIS curve in a South African bank.” 2017. Thesis, University of Cape Town. Accessed November 11, 2019. http://hdl.handle.net/11427/27104.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Van Heeswijk, Dirk. “Bootstrapping the OIS curve in a South African bank.” 2017. Web. 11 Nov 2019.

Vancouver:

Van Heeswijk D. Bootstrapping the OIS curve in a South African bank. [Internet] [Thesis]. University of Cape Town; 2017. [cited 2019 Nov 11]. Available from: http://hdl.handle.net/11427/27104.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Van Heeswijk D. Bootstrapping the OIS curve in a South African bank. [Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/27104

Not specified: Masters Thesis or Doctoral Dissertation