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Browsing by Author "Ouwehand, Peter"

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Accelerated Adjoint Algorithmic Differentiation with Applications in Finance

Author: De Beer, Jarred Date: 2017 Adjoint Differentiation's (AD) ability to calculate Greeks efficiently and to machine precision while scaling in constant time to the number of input variables is attractive for calibration and hedging where frequent calculations are required. ... Read more
Alternatives to the Black-Scholes model

Author: Durrell, Fernando Date: 2001 In this paper, I consider alternative models to the one posited by Black and Scholes. I consider discontinuous security price movements, non-constant volatility, and models very different from the Black-Scholes model. I found that most of the ... Read more
Analysis of convertible bonds

Author: Thompson, Kevin Date: 2004 Includes bibliographical references ( leaves 90-92). 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
Congruences and amalgamation in small lattice varieties

Author: Ouwehand, Peter Date: 1998 When it became apparent that many varieties of algebras do not satisfy the Amalgamation Property, George Grätzer introduced the concept of an amalgamation class of a variety . The bulk of this dissertation is concerned with the amalgamation ... Read more
Constrained portfolio selection with Markov and non-Markov processes and insiders

Author: Durrell, Fernando Date: 2007 Word processed copy. Includes bibliographical references (p. 158-168). Read more
Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck

Author: Acott, David M Date: 2006 This dissertation considers the errors when using Black-Scholes prices and hedges for European equity options (Black&Scholes (1973), Merton (1973)) and American equity options (Karatzas (1988)) in an economy with stochastic interest rates. ... Read more
Estimating dynamic affine term structure models

Author: Pitsillis, Zachry Steven Date: 2015 Duffee and Stanton (2012) demonstrated some pointed problems in estimating affine term structure models when the price of risk is dynamic, that is, risk factor dependent. The risk neutral parameters are estimated with precision, while the ... Read more
Estimation of Shadow-Rate Term Structure Models Near the Zero-Lower Bound

Author: Esmail, Shabbirhussein Date: 2019 Though it is customary to use standard Gaussian term structure models for term structure modelling, this becomes theoretically implausible in cases when nominal interest rates are near zero: Gaussian models can have arbitrarily large negative ... Read more
Factorization properties of universal algebras

Author: Wiggins, Harry Date: 2010 This dissertation deals with algebraic structures that can be written as the product of directly indecomposable algebras in a unique way up to isomorphism, known as the Unique Factorization Property. Here we undertake the task of collecting ... Read more
Fourier pricing of two-asset options: a comparison of methods

Author: Roberts, Jessica Ellen Date: 2018 Fourier methods form an integral part in the universe of option pricing due to their speed, accuracy and diversity of use. Two types of methods that are extensively used are fast Fourier transform (FFT) methods and the Fourier-cosine series ... Read more
Hedging volatility: different perspectives compared

Author: Ogg, Richard Date: 2020 The accuracy of the Black and Scholes (1973) delta and vega neutral portfolio for a vanilla option was compared to a benchmark set by the Heston (1993) model in a stochastic volatility environment. The Black-Scholes portfolio was implemented ... Read more
Index-linked catastrophe instrument valuation

Author: Giuricich, Mario Nicolo Date: 2018 This thesis proposes four contributions to the literature on index-linked catastrophe instrument valuation. Invariably, any exercise to find index-linked catastrophe instrument prices involves three key steps: construct a suitable arbitrage-free ... 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
Low-rank completion and recovery of correlation matrices

Author: Ramlall, Chetan K Date: 2019 In the pursuit of efficient methods of dimension reduction for multi-factor correlation systems and for sparsely populated and partially observed matrices, the problem of matrix completion within a low-rank framework is of particular significance. ... Read more
The mathematics of insider trading

Author: Chui, Chi Kin Date: 2008 Over the past decade the research into the topic of incorporating non-market information has accelerated. This dissertation aims to serve as a monograph of the contemporary body of research to the insider problem, under a Brownian setting in ... Read more
Model Misspecification and the Hedging of Exotic Options

Author: Balshaw, Lloyd Stanley Date: 2018 Asset pricing models are well established and have been used extensively by practitioners both for pricing options as well as for hedging them. Though Black-Scholes is the original and most commonly communicated asset pricing model, alternative ... Read more
Option pricing models with jumps in the context of the JSE's Top40 index

Author: Davies, Robin Date: 2006 Includes bibliographical references. Read more
Option pricing with non-constant volatility

Author: Lin, Shih-Hsun Date: 2002 For the past three decades, researchers have developed models to price options with non-constant asset price volatility. These models can be divided into deterministic volatility models and stochastic volatility models. Deterministic volatility ... Read more