Browsing PhD / Doctoral by Department "African Institute of Financial Markets and Risk Management"

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Enlargement of Filtration, Backward Stochastic Differential Equations and Optimal Stopping Problems

Author: Soane, Andrew Date: 2022 This thesis focuses on the application of the enlargement of filtration to backward stochastic differential equations (BSDEs) and optimal stopping problems. In particular, the thesis develops the theory of the progressive enlargement of ... Read more
Term structure models with unspanned factors and unspanned stochastic volatility

Author: Backwell, Alexander Date: 2018 Certain models of the term structure of interest rates exhibit unspanned stochastic volatility (USV). A model has this property if it involves a source of stochastic variation — called an unspanned factor — that does not affect the model’s ... Read more
Topics in market microstructure, misconduct and systemic risk: an empirical analysis of the South African equity market

Author: Dube, Qobolwakhe Thomas Date: 2021 Three distinct but interrelated studies with their foundations in recent developments in the South African capital markets are presented in this thesis. The first study presents an empirical analysis of the systemic risk exposures and ... Read more

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