Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Antonie Kotze"'
Publikováno v:
International Journal of Theoretical and Applied Finance. 25
The Radial Basis Functions (RBF) interpolation is a popular approximation technique used to smooth scattered data in various dimensions. This study uses RBF interpolation to interpolate the volatility skew of the S&P500 index options. The interpolate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a1b857c5d35716ac5b9897c93829a4aa
https://doi.org/10.1142/s0219024922500303
https://doi.org/10.1142/s0219024922500303
Publikováno v:
Procedia Economics and Finance. 14:349-358
The Basel Committee on Banking Supervision (BCBS) has a policy framework for how clearing member banks should treat their exposures to central counterparties (CCPs). Default funds play a crucial role as a risk mitigant in this framework. Furthermore,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bc144ffb6acf61511aba1163588be9a1
https://doi.org/10.1016/s2212-5671(14)00723-0
https://doi.org/10.1016/s2212-5671(14)00723-0
Autor:
Antonie Kotze, Paul du Preez
Publikováno v:
Risk Governance & Control: Financial Markets & Institutions, Vol 3, Iss 1-1, Pp 82-92 (2013)
Exposure-at-default is one of the most interesting and most difficult parameters to estimate in counterparty credit risk. Basel I offered only the non-internal Current Exposure Method for estimating this quantity whilst Basel II further introduced th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf1393be77ba6033934ebc373a8e6b47
https://virtusinterpress.org/IMG/pdf/10-22495_rgcv3i1c1art2.pdf
https://virtusinterpress.org/IMG/pdf/10-22495_rgcv3i1c1art2.pdf
Autor:
Antonie Kotze
Publikováno v:
SSRN Electronic Journal.
The FTSE/JSE Top 40 Index is the flagship index at the Johannesburg Stock Exchange (JSE). It captures more than 80% of the total market capitalisation of all the shares listed on the JSE. It is tradable and the liquid ALSI future is listed on this in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fd44bf93f0a59a12c21ff3c0102c2cd5
https://doi.org/10.2139/ssrn.2978093
https://doi.org/10.2139/ssrn.2978093
Publikováno v:
Journal of Risk and Financial Management, Vol 8, Iss 1, Pp 43-82 (2015)
Journal of Risk and Financial Management
Volume 8
Issue 1
Pages 43-82
Journal of Risk and Financial Management
Volume 8
Issue 1
Pages 43-82
Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive res
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::244011022c77a1dc755dcc80cb3044ee
https://hdl.handle.net/10419/178554
https://hdl.handle.net/10419/178554
Autor:
Antonie Kotze
Publikováno v:
SSRN Electronic Journal.
The financial crisis that has been wreaking havoc in markets across the world since August 2007 had its origins in an asset price bubble that interacted with new kinds of financial innovations that masked risk; with companies that failed to follow th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f5ef1f90bc7906970a60746d2e48717
https://doi.org/10.2139/ssrn.2587342
https://doi.org/10.2139/ssrn.2587342
Autor:
Antonie Kotze, Rudolf Oosthuizen
Publikováno v:
SSRN Electronic Journal.
Can-do options are bespoke option structures listed on Safex and Yield-X. The JSE is the first exchange in the world to list, trade and clear exotic options. The first exotic was listed on 8 January 2007 with the onset of the financial crisis that pl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::73aa3f251d6ba93fae14a602267a124f
https://doi.org/10.2139/ssrn.2254975
https://doi.org/10.2139/ssrn.2254975
Autor:
Antonie Kotze, Paul du Preez
Publikováno v:
SSRN Electronic Journal.
Exposure-at-default is one of the most interesting and most difficult parameters to estimate in counterparty credit risk. Basel I offered only the non-internal Current Exposure Method for estimating this quantity whilst Basel II further introduced th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::901dc4f91104fd60907372e97306338a
https://doi.org/10.2139/ssrn.2249132
https://doi.org/10.2139/ssrn.2249132
Autor:
Antonie Kotze
Publikováno v:
SSRN Electronic Journal.
Exposure-at-default (EAD) is one of the most interesting and most difficult parameters to estimate in counterparty credit risk (CCR). Basel I offered only the non-internal Current Exposure Method (CEM) for estimating this quantity whilst Basel II fur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0cbd321f51bdd91b5112e2011bad2935
https://doi.org/10.2139/ssrn.2249135
https://doi.org/10.2139/ssrn.2249135
Autor:
Antonie Kotze
Publikováno v:
SSRN Electronic Journal.
Instalment warrants are very popular in Australia and these instruments have been listed by Nedbank and Standard Bank in South Africa. Instalments are financial products, that allow investors to gain direct exposure to shares by making a part payment
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5b3ec56db0ee6612e74449a52c619da1
https://doi.org/10.2139/ssrn.2261135
https://doi.org/10.2139/ssrn.2261135