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Efficient Monte Carlo methods for pricing of electricity derivatives
(University of the Western Cape, 2012)
We discuss efficient Monte Carlo methods for pricing of electricity derivatives. Electricity derivatives are risk management tools used in deregulated electricity markets. In the past,research in electricity derivatives ...
Mathematical modeling and analysis of HIV/AIDS control measures
(University of the Western Cape, 2012)
In this thesis, we investigate the HIV/AIDS epidemic in a population which experiences a significant flow of immigrants. We derive and analyse a math-
ematical model that describes the dynamics of HIV infection among the ...
Modelling of asset allocation in banking using the mean-variance approach
(University of the Western Cape, 2012)
Bank asset management mainly involves profit maximization through invest-
ment in loans giving high returns on loans, investment in securities for reducing
risk and providing liquidity needs. In particular, commercial ...