Author:Mzuku, KungelaDate:2019Over 61 percent of Africans are involved in agriculture; of this, only a few have access to financial services catered for their business. To get financial assistance, farmers have to provide sufficient collateral in the form of land, machinery ...Read more
Author:Ortlepp, BryonyDate:2019In South Africa and many other countries, credit registers and credit scores are used to determine how much credit a person can get access to, as well as the interest rate which they will be charged. In addition to this, some companies (such ...Read more
Author:Modibane, MasegoDate:2019For many credit-offering institutions, such as banks and retailers, credit scores play an important role in the decision-making process of credit applications. It becomes difficult to source the traditional information required to calculate ...Read more
Author:Beelders, NoahDate: 2021Recent literature has provided empirical evidence showing that the behaviour of volatility in financial markets is rough. Given the complicated nature of rough dynamics, a review of these methods is presented with the intention of ensuring ...Read more
Author:Jain, RohinDate: 2020The Monte Carlo method (MC) is a common numerical technique used to approximate an expectation that does not have an analytical solution. For certain problems, MC can be inefficient. Many techniques exist to improve the efficiency of MC ...Read more
Author:Ntsaluba, Kuselo NtsikaDate:2019In this study, a methodology is presented where a hybrid system combining an evolutionary algorithm with artificial neural networks (ANNs) is designed to make weekly directional change forecasts on the USD by inferring a prediction using ...Read more
Author:Van Gysen, Richard JohnDate:2019In 2009, Trolle and Schwartz (2008) produced an instantaneous forward interest rate model with several stylised facts such as stochastic volatility. They derived pricing formulae in order to price bonds and bond options, which can be altered ...Read more
Author:Morley, NiallDate:2018This dissertation explores a key challenge of the financial industry — the efficient computation of sensitivities of financial instruments. The adjoint approach to solving affine recursion problems (ARPs) is presented as a solution to this ...Read more
Author:Vakaloudis, DmitriDate:2019The traditional Black-Scholes (BS) model relies heavily on the assumption that underlying returns are normally distributed. In reality however there is a large amount of evidence to suggest that this assumption is weak and that actual return ...Read more
Author:Muchabaiwa, Tinotenda MunasheDate: 2021Traditional option pricing methods like Monte Carlo simulation can be time consuming when pricing and hedging exotic options under stochastic volatility models like the Heston model. The purpose of this research is to apply the Gaussian Process ...Read more
Author:Patel, RiazDate:2019The hybrid Heston-Hull-White (HHW) model combines the Heston (1993) stochastic volatility and Hull and White (1990) short rate models. Compared to stochastic volatility models, hybrid models improve upon the pricing and hedging of longdated ...Read more
Author:Lopes, Marcio FerraoDate:2018This dissertation explores the use of single- and multi-factor Gaussian short rate models for the valuation of interest rate sensitive European options. Specifically, the focus is on deriving the joint distribution of the short rate and the ...Read more
Author:Shaw, MatthewDate:2018Pitsillis 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 (2009) and Huang and Stoll (1997). This dissertation tests the effectiveness of both ...Read more
Author:Mitoulis, NicolasDate:2019A profit or loss (P&L) of a dynamically hedged option depends on the implied volatility used to price the option and implement the hedges. Break-even volatility is a method of solving for the volatility which yields no profit or loss based ...Read more
Author:Cresswell, WadeDate:2019This dissertation investigates break-even volatility in the context of the South African interest rate market. Introduced by Dupire (2006), break-even volatility is a retrospective measure defined as the volatility that ensures the profit or ...Read more
Author:Sylvester, MatthewDate: 2020The modelling of the short rate offers many advantages, with the models explored in this dissertation all offering closed-form, analytic formulae for bond prices and for options on bonds. Often, a vital primary condition is for a model to be ...Read more
Author:Sterley, ChristopherDate:2019We derive an approximate characteristic function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the ...Read more
Author:Favish, AshleighDate:2019The impact of apartheid on land registration is still evident within South Africa. The Deeds Registry is facing a current backlog in registering an estimated 900,000 title deeds. Providing formal ownership, through title, is seen as necessary ...Read more
Author:Riedl, Anna TeresaDate:2019The 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
Author:Patel, KavirDate:2018The 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