Quantifying Model Risk in Option Pricing and Value-at-Risk Models

dc.contributor.advisorMahomed, Obeid
dc.contributor.advisorOuwehand, Peter
dc.contributor.authorNgwenza, Dumisani
dc.date.accessioned2020-02-13T07:56:34Z
dc.date.available2020-02-13T07:56:34Z
dc.date.issued2019
dc.date.updated2020-02-13T07:42:52Z
dc.description.abstractFinancial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its underlying factors. This dissertation quantifies model risk inherent in Value-at-Risk (VaR) on a variety of portfolios comprised of European options written on the ALSI futures index across various maturities. The European options under consideration will be modelled using the Black-Scholes, Heston and Variance-Gamma models.
dc.identifier.apacitationNgwenza, D. (2019). <i>Quantifying Model Risk in Option Pricing and Value-at-Risk Models</i>. (). ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/31059en_ZA
dc.identifier.chicagocitationNgwenza, Dumisani. <i>"Quantifying Model Risk in Option Pricing and Value-at-Risk Models."</i> ., ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019. http://hdl.handle.net/11427/31059en_ZA
dc.identifier.citationNgwenza, D. 2019. Quantifying Model Risk in Option Pricing and Value-at-Risk Models.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Ngwenza, Dumisani AB - Financial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its underlying factors. This dissertation quantifies model risk inherent in Value-at-Risk (VaR) on a variety of portfolios comprised of European options written on the ALSI futures index across various maturities. The European options under consideration will be modelled using the Black-Scholes, Heston and Variance-Gamma models. DA - 2019 DB - OpenUCT DP - University of Cape Town KW - Mathematical Finance LK - https://open.uct.ac.za PY - 2019 T1 - Quantifying Model Risk in Option Pricing and Value-at-Risk Models TI - Quantifying Model Risk in Option Pricing and Value-at-Risk Models UR - http://hdl.handle.net/11427/31059 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/31059
dc.identifier.vancouvercitationNgwenza D. Quantifying Model Risk in Option Pricing and Value-at-Risk Models. []. ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/31059en_ZA
dc.language.rfc3066eng
dc.publisher.departmentAfrican Institute of Financial Markets and Risk Management
dc.publisher.facultyFaculty of Commerce
dc.subjectMathematical Finance
dc.titleQuantifying Model Risk in Option Pricing and Value-at-Risk Models
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhil
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