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Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage
Bibliography: leaves 58-59.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867614513718624256 |
|---|---|
| access_status_str | Open Access |
| author | De Araujo, Mark |
| author2 | Polakow, Daniel |
| author_browse | De Araujo, Mark Polakow, Daniel |
| author_facet | Polakow, Daniel De Araujo, Mark |
| author_sort | De Araujo, Mark |
| collection | Thesis |
| description | Bibliography: leaves 58-59. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4878 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:53:14.681Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4878 Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage De Araujo, Mark Polakow, Daniel Mathematics and Applied Mathematics Bibliography: leaves 58-59. This study is intended to be a rigorous examination of a valid and attractive practical problem in financial mathematics in the real world rather than a theoretical contribution. It has foci in statistical modelling of derivative (Black-Scholes) mechanics. The impetus for this research was initially gleaned while working with an active South African derivatives brokerage house (Cadiz Holdings) as an intern. It was immediately evident that there was a pressing need for an investigation into volatility trading rules to recommend trades (from the sell-side brokers) as well as to trigger trades (from the institutional investors point of view). The rules that both parties typically used appeared too simple to be useful or profitable. 2014-07-31T08:07:00Z 2014-07-31T08:07:00Z 2003 Master Thesis Masters MSc http://hdl.handle.net/11427/4878 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics and Applied Mathematics De Araujo, Mark Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage |
| thesis_degree_str | Master's |
| title | Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage |
| title_full | Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage |
| title_fullStr | Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage |
| title_full_unstemmed | Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage |
| title_short | Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage |
| title_sort | making cents of yesterday today and tomorrow trading rules for volatility arbitrage |
| topic | Mathematics and Applied Mathematics |
| url | http://hdl.handle.net/11427/4878 |
| work_keys_str_mv | AT dearaujomark makingcentsofyesterdaytodayandtomorrowtradingrulesforvolatilityarbitrage |