Browsing Masters by Department "African Institute of Financial Markets and Risk Management"

Now showing items 21-40 of 54

Empirical Analysis ot the Top 800 Cryptocurrencies using Machine Learning Techniques

Author: Riedl, Anna Teresa Date: 2019 The International Token Classification (ITC) Framework by the Blockchain Center in Frankfurt classifies 795 cryptocurrency tokens based on their economic, technological, legal and industry categorization. This work analyzes cryptocurrency ... Read more
Employee Stock Option Valuation with Earnings-Based Vesting Condition

Author: Patel, Kavir Date: 2018 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 of employee compensation. IFRS 2 Share-based Payment stipulates that these instruments must be valued and ... Read more
Estimating Long Term Equity Implied Volatility

Author: Crawford, Danielle Ana Date: 2019 Estimating and extrapolating long term equity implied volatilities is of importance in the investment and insurance industry, where ’long term’ refers to periods of ten to thirty years. Market-consistent calibration is difficult to perform ... Read more
Flexible risk-based portfolio optimisation

Author: Landman, Jayson Date: 2020 The purpose of this study is to present and test a general framework for risk-based investing. It permits various risk-based portfolios such as the global minimum variance, equal risk contribution and equal weight portfolios. The framework ... Read more
Hedging Interest-Rate Options Using Principal Components Analysis

Author: Bhamani, Feroz Date: 2018 It is often a goal of the risk management of a portfolio of interest rate sensitive instruments to minimize the impact of movements in market rates on the value of the portfolio. This can be done by considering the sensitivity of the portfolio ... Read more
How to attribute credit if you must

Author: Meiklejohn, Luke S Date: 2021 Data ownership is of fundamental importance in the digital economy of today. Commercializing academic research, whilst maintaining ownership of it, is a task that can now be accomplished due to the strengths of blockchain technology, which ... Read more
How to build a self-sovereign identity system that is beneficial to both the individual and business

Author: Moodley, Jothi Date: 2019 Self-sovereign identity defines a system in which an entity can generate and maintain their own proof of identity. There are several solutions aimed at providing this service and storing the relevant information on a blockchain. We describe ... Read more
Implementation of numerical Fourier method for second order Taylor schemes

Author: Mashalaba, Qaphela Date: 2019 The problem of pricing contingent claims in a complete market has received a significant amount of attention in literature since the seminal work of Black, Fischer and Scholes, Myron (1973). It was also in 1973 that the theory of backward ... Read more
Interpolation of Forward Rates in the LIBOR Market Model

Author: Mbele, Buhlebezwe Bandile Sthombe Date: 2020 Since its development in 1997, the LIBOR market model has gained widespread use in interest rate modelling, largely owing to its consistency with the Black futures formula for pricing interest rate caps and floors. From its original ... Read more
Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models

Author: Tokwe,Thabo Date: 2018 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 true for a majority of multi-factor affine term structure ... Read more
KVA in Black Scholes Pricing

Author: Pavlou, Petro Date: 2019 The post 2007-financial crisis era has led to renewed zeal in quantifying market incompleteness when pricing contingent claims. This quantification exercise is necessary in maintaining a stable and sustainable banking operation and thus the ... Read more
Latent State and Parameter Estimation of Stochastic Volatility/Jump Models via Particle Filtering

Author: Soane, Andrew Date: 2018 Particle filtering in stochastic volatility/jump models has gained significant attention in the last decade, with many distinguished researchers adding their contributions to this new field. Golightly (2009), Carvalho et al. (2010), Johannes ... Read more
Level Dependence in Volatility in Linear-Rational Term Structure Models

Author: Ramnarayan, Kalind Date: 2019 The degree of level dependence in interest rate volatility is analysed in the linearrational term structure model. The linear-rational square-root (LRSQ) model, where level dependence is set a priori, is compared to a specification where the ... Read more
Linear-Rational Term Structure Models With Flexible Level-Dependent Volatility

Author: Schwellnus, Adrian Date: 2018 The Linear-Rational Framework for the modelling of interest rates is a framework which allows for the addition of spanned and unspanned factors, while maintaining a lower bound on rates and tractable valuation of interest rate derivatives, ... Read more
Local Stochastic Volatility—The Hyp-Hyp Model

Author: Cowen, Nicholas Date: 2020 Volatility modelling is used predominantly in order to explain the volatility smile observed in the market. Stochastic volatility models are mainly used to capture the curvature of a volatility smile while local volatility models generally ... Read more
Model Calibration with Machine Learning

Author: Haussamer, Nicolai Haussamer Date: 2018 This dissertation focuses on the application of neural networks to financial model calibration. It provides an introduction to the mathematics of basic neural networks and training algorithms. Two simplified experiments based on the Black-Scholes ... Read more
Modelling Equities with a Stochastic Volatility Jump Diffusion

Author: Gorven, Matthew Date: 2018 The Bates model provides a parsimonious fit to implied volatility surfaces, and its usefulness in developed markets is well documented. However, there is a lack of research assessing its applicability to developing markets. Additionally, ... Read more
Modelling probabilities of corporate default

Author: Van Jaarsveldt, Cole Date: 2019 This dissertation follows, scrupulously, the probability of default model used by the National University of Singapore Risk Management Institute (NUS-RMI). Any deviations or omissions are noted with reasons related to the scope of this study ... Read more
Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model

Author: Hammond, Graeme Date: 2019 This dissertation examines the performance of two log-normal rational pricing kernel models and their calibration to the South African Inter-bank interest rate market. We investigate using Monte-Carlo simulation to price caps, floors and ... Read more
"Online Platform for Deep Learning Education"

Author: Fourie, Aidan Date: 2019 My thesis is going to focus on the development of a standalone, web based, machine learning educational platform. This platform will have a specific focus on neural networks. This tool will have the primary intention to provide a theoretical ... Read more