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

Now showing items 1-20 of 52

A decentralised asset registry to expand access to finance for the agricultural sector in South Africa

Author: Mzuku, Kungela Date: 2019 Over 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
A Feasibility Study on Using the Blockchain to Build a Credit Register for Individuals Who Do Not Have Access to Traditional Credit Scores

Author: Ortlepp, Bryony Date: 2019 In 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
A Machine Learning Approach to Predicting the Employability of a Graduate

Author: Modibane, Masego Date: 2019 For 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
A review of current Rough Volatility Methods

Author: Beelders, Noah Date: 2021 Recent 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
A Review of Multilevel Monte Carlo Methods

Author: Jain, Rohin Date: 2020 The 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
AI/Machine learning approach to identifying potential statistical arbitrage opportunities with FX and Bitcoin Markets

Author: Ntsaluba, Kuselo Ntsika Date: 2019 In 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
Analytical Solution of the Characteristic Function in the Trolle-Schwartz Model

Author: Van Gysen, Richard John Date: 2019 In 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
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
Application of Volatility Targeting Strategies within a Black-Scholes Framework

Author: Vakaloudis, Dmitri Date: 2019 The 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
Applications of Gaussian Process Regression to the Pricing and Hedging of Exotic Derivatives

Author: Muchabaiwa, Tinotenda Munashe Date: 2021 Traditional 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
Approximating the Heston-Hull-White Model

Author: Patel, Riaz Date: 2019 The 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
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
Break-Even Volatility

Author: Mitoulis, Nicolas Date: 2019 A 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
Break-even volatility for caps, floors and swaptions

Author: Cresswell, Wade Date: 2019 This 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
Calibrating Term Structure Models to an Initial Yield Curve

Author: Sylvester, Matthew Date: 2020 The 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
Characteristic function pricing with the Heston-LIBOR hybrid model

Author: Sterley, Christopher Date: 2019 We 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
Data Capture Automation in the South African Deeds Registry using Optical Character Recognition (OCR)

Author: Favish, Ashleigh Date: 2019 The 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
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