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

Now showing items 1-13 of 13

Application of Adjoint Differentiation (AD) for Calculating Libor Market Model Sensitivities

Author: Morley, Niall Date: 2018 This 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
Bias-Free Joint Simulation of Multi-Factor Short Rate Models and Discount Factor

Author: Lopes, Marcio Ferrao Date: 2018 This 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
Bid-Ask Spread Modelling in the South African Bond Market

Author: Shaw, Matthew Date: 2018 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 (2009) and Huang and Stoll (1997). This dissertation tests the effectiveness of both ... 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
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
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
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
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
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
Pricing swaptions on amortising swaps

Author: Masutha, Ndinae Nico Date: 2018 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 European amortising swaption into a series of discount bond options, with an ... Read more
Sequential Calibration of Asset Pricing Models to Option Prices

Author: Oagile, Joel Date: 2018 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, namely the extended Kalman filter (EKF), iterated extended ... Read more
The Credit Risk in Stock-Based Loans

Author: Korula, Febin Date: 2018 Stock-based loans are an increasingly popular form of loan that are collateralised using stocks. Since these loans are often non-recourse loans, the lenders are subject to the risk that the collateral is worth less than the loan, and the ... Read more