Browsing Faculty of Natural Science by Author "Witbooi, Peter J."

Now showing items 21-23 of 23

  • Pricing methods for Asian options 

    Mudzimbabwe, Walter (2010)
    We present various methods of pricing Asian options. The methods include Monte Carlo simulations designed using control and antithetic variates, numerical solution of partial differential equation and using lower bounds.The ...

  • Stochastic modelling in bank management and optimization of bank asset allocation 

    Schalkwyk, Garth Van (2009)
    The Basel Committee published its proposals for a revised capital adequacy framework(the Basel II Capital Accord) in June 2006. One of the main objectives of this framework is to improve the incentives for state-of-the-art ...

  • Stochastic Volatility Models for Contingent Claim Pricing and Hedging 

    Manzini, Muzi Charles (University of the Western Cape, 2008)
    The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we ...