Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Eben Mare"'
Publikováno v:
Mathematics, Vol 12, Iss 20, p 3251 (2024)
This paper aims to present a robust computational technique utilizing finite difference schemes for accurately solving time fractional reaction–diffusion models, which are prevalent in chemical and biological phenomena. The time-fractional derivati
Externí odkaz:
https://doaj.org/article/b39e6a9c485c4a96ab10e0ecb199346c
Publikováno v:
Cogent Economics & Finance, Vol 10, Iss 1 (2022)
In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are considered. The
Externí odkaz:
https://doaj.org/article/7c21474dfbb6402aa13b080875543328
Publikováno v:
Cogent Economics & Finance, Vol 8, Iss 1 (2020)
In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX). The first model is symmetric and the other takes asymmetric effects into
Externí odkaz:
https://doaj.org/article/db17bcc9471d4c458faa7f1d9c663268
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 20, Iss 1, Pp e1-e15 (2017)
Background: With the increasing use of complex quantitative models in applications throughout the financial world, model risk has become a major concern. The credit crisis of 2008–2009 provoked added concern about the use of models in finance. Meas
Externí odkaz:
https://doaj.org/article/b23f3c3b3e3f465490e378feffe89574
Autor:
Bhekinkosi Khuzwayo, Eben Mare
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 17, Iss 5, Pp 691-699 (2014)
We consider so-called volatility targeting strategies in the South African equity market. These strategies are aimed at keeping the volatility of a portfolio consisting of a risky asset, typically an equity index, and cash fixed. This is done by chan
Externí odkaz:
https://doaj.org/article/ba63c95896584582b737d309dfc262a6
Autor:
Paul Du Preez, Eben Mare
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 16, Iss 4, Pp 395-406 (2013)
This paper presents a method for interpolating yield curve data in a manner that ensures positive and continuous forward curves. As shown by Hagan and West (2006), traditional interpolation methods suffer from problems: they posit unreasonable expect
Externí odkaz:
https://doaj.org/article/abbbd6ff1f314bb0a404513793d32644
Autor:
C Milwidsky, Eben Mare
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 13, Iss 3, Pp 345-361 (2010)
Traditional parametric Value at Risk (VaR) estimates assume normality in financial returns data. However, it is well known that this distribution, while convenient and simple to implement, underestimates the kurtosis demonstrated in most financial re
Externí odkaz:
https://doaj.org/article/5d3548e607db445fa9861fd1f596d69d
Autor:
Eben Mare, Edson Pindza
Publikováno v:
Applied Mathematics & Information Sciences. 16:761-771
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::91f0cfac934d7236f42f7e42f1212709
https://doi.org/10.18576/amis/160510
https://doi.org/10.18576/amis/160510
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 27, Iss 1, Pp e1-e12 (2024)
Background: Many retirees in South Africa face the challenge of either outliving their retirement savings or living below their means. Studies suggest a ‘safe’ withdrawal rate of between 4% and 5%, which is below the average fund size-weighted dr
Externí odkaz:
https://doaj.org/article/dd11bd5c0678444fa12ca99be82cde71
Autor:
Eben Mare, Alexis Levendis
Publikováno v:
Journal of Risk and Financial Management; Volume 15; Issue 11; Pages: 504
Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some strides have been made in recent years through the application of Fourier transform methods; however, to date, these methods have only been applied to s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::09f10005f48abd557c7cb3864d38f617
https://doi.org/10.3390/jrfm15110504
https://doi.org/10.3390/jrfm15110504