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Quantifying Model Risk in Option Pricing and Value-at-Risk Models
Financial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its u...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2020
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| _version_ | 1867613200605773824 |
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| access_status_str | Open Access |
| author | Ngwenza, Dumisani |
| author2 | Mahomed, Obeid |
| author_browse | Mahomed, Obeid Ngwenza, Dumisani |
| author_facet | Mahomed, Obeid Ngwenza, Dumisani |
| author_sort | Ngwenza, Dumisani |
| collection | Thesis |
| description | Financial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its underlying factors. This dissertation quantifies model risk inherent in Value-at-Risk (VaR) on a variety of portfolios comprised of European options written on the ALSI futures index across various maturities. The European options under consideration will be modelled using the Black-Scholes, Heston and Variance-Gamma models. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/31059 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:21.936Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| publisher | African Institute of Financial Markets and Risk Management |
| publisherStr | African Institute of Financial Markets and Risk Management |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/31059 Quantifying Model Risk in Option Pricing and Value-at-Risk Models Ngwenza, Dumisani Mahomed, Obeid Ouwehand, Peter Mathematical Finance Financial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its underlying factors. This dissertation quantifies model risk inherent in Value-at-Risk (VaR) on a variety of portfolios comprised of European options written on the ALSI futures index across various maturities. The European options under consideration will be modelled using the Black-Scholes, Heston and Variance-Gamma models. 2020-02-13T07:56:34Z 2020-02-13T07:56:34Z 2019 2020-02-13T07:42:52Z Master Thesis Masters MPhil http://hdl.handle.net/11427/31059 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce |
| spellingShingle | Mathematical Finance Ngwenza, Dumisani Quantifying Model Risk in Option Pricing and Value-at-Risk Models |
| thesis_degree_str | Master's |
| title | Quantifying Model Risk in Option Pricing and Value-at-Risk Models |
| title_full | Quantifying Model Risk in Option Pricing and Value-at-Risk Models |
| title_fullStr | Quantifying Model Risk in Option Pricing and Value-at-Risk Models |
| title_full_unstemmed | Quantifying Model Risk in Option Pricing and Value-at-Risk Models |
| title_short | Quantifying Model Risk in Option Pricing and Value-at-Risk Models |
| title_sort | quantifying model risk in option pricing and value at risk models |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/31059 |
| work_keys_str_mv | AT ngwenzadumisani quantifyingmodelriskinoptionpricingandvalueatriskmodels |