Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage

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dc.contributor.advisorPolakow, Danielen_ZA
dc.contributor.authorDe Araujo, Marken_ZA
dc.date.accessioned2014-07-31T08:07:00Z
dc.date.available2014-07-31T08:07:00Z
dc.date.issued2003en_ZA
dc.descriptionBibliography: leaves 58-59.
dc.description.abstractThis study is intended to be a rigorous examination of a valid and attractive practical problem in financial mathematics in the real world rather than a theoretical contribution. It has foci in statistical modelling of derivative (Black-Scholes) mechanics. The impetus for this research was initially gleaned while working with an active South African derivatives brokerage house (Cadiz Holdings) as an intern. It was immediately evident that there was a pressing need for an investigation into volatility trading rules to recommend trades (from the sell-side brokers) as well as to trigger trades (from the institutional investors point of view). The rules that both parties typically used appeared too simple to be useful or profitable.en_ZA
dc.identifier.apacitationDe Araujo, M. (2003). <i>Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4878en_ZA
dc.identifier.chicagocitationDe Araujo, Mark. <i>"Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2003. http://hdl.handle.net/11427/4878en_ZA
dc.identifier.citationDe Araujo, M. 2003. Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - De Araujo, Mark AB - This study is intended to be a rigorous examination of a valid and attractive practical problem in financial mathematics in the real world rather than a theoretical contribution. It has foci in statistical modelling of derivative (Black-Scholes) mechanics. The impetus for this research was initially gleaned while working with an active South African derivatives brokerage house (Cadiz Holdings) as an intern. It was immediately evident that there was a pressing need for an investigation into volatility trading rules to recommend trades (from the sell-side brokers) as well as to trigger trades (from the institutional investors point of view). The rules that both parties typically used appeared too simple to be useful or profitable. DA - 2003 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2003 T1 - Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage TI - Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage UR - http://hdl.handle.net/11427/4878 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4878
dc.identifier.vancouvercitationDe Araujo M. Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2003 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4878en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics and Applied Mathematicsen_ZA
dc.titleMaking cents of yesterday, today and tomorrow : trading rules for volatility arbitrageen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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