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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 ...
Analysis of errors in derivatives of trigonometric functions: a case study in an extended curriculum programme
(University of the Western Cape, 2012)
Efficient numerical methods based on integral transforms to solve option pricing problems
(University of the Western Cape, 2012)
In this thesis, we design and implement a class of numerical methods (based on integral transforms) to solve PDEs for pricing a variety of financial derivatives. Our approach is based on spectral discretization of the ...
Robust Spectral Methods for Solving Option Pricing Problems
(University of the Western Cape, 2012)
Robust Spectral Methods for Solving Option Pricing Problems
by
Edson Pindza
PhD thesis, Department of Mathematics and Applied Mathematics, Faculty of
Natural Sciences, University of the Western Cape
Ever since the ...
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 ...