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Browsing Actuarial Science by Type "Thesis"
Now showing items 1-7 of 7
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(University of Pretoria, 2023)Stochastic volatility models have become immensely popular since their introduction in 1993 by Heston. This is because their dynamics are more consistent with market behaviour compared to the standard Black-Scholes model. ...
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(University of Pretoria, 2011-04-07)AFRIKAANS: Die lewensversekeringsbedryf in Suid-Arrika is ‘n groot mobi1iseerder van langtermyn diskresionêre kapitaal en verleen beskerming teen finansiële ver1iese wat weens die intrede van persoonlike risiko’s voorkom. ...
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(University of Pretoria, 2022)This thesis analyses the performance of the equal weighted portfolio using an approach from stochastic portfolio theory. This framework allows for the decomposition of the relative performance of the equal weighted portfolio ...
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(University of Pretoria, 2022)In this thesis, we investigate several methods for extracting the forecast distribution from historical asset returns and market-quoted option prices. Typically, risk-neutral distributions, extracted from market quoted ...
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(University of Pretoria, 2019)We introduce new tiered bank network structures, allowing for many di erent bank sizes, and compare risk propagation in these structures with the well-known Erd˝os-R´enyi, assortative and disassortative structures. The ...
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(University of Pretoria, 2019)The modern quantitative portfolio manager is the quintessential “jack of all trades”. Not only do they need to be an expert in the specific area of portfolio management, they also need to have a thorough understanding of ...
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(University of Pretoria, 2022)In this thesis, the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is applied to illiquid markets, volatility indices and in a modern derivative pricing framework. Chapter 2 provides ...
Now showing items 1-7 of 7