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  1. Cover Image

    Investigating the use of machine learning to value contingent claims

    Published 2025
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    Application of Chebyshev approximation techniques applied to banking risk calculations

    Published 2025
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    An analytical examination of retirement strategies in South Africa

    Published 2025
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    Examining non-parallel interest rate risk premia with a focus on South African markets

    Published 2025
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    The valuation and calibration of convertible bonds

    Published 2013
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    Long term extrapolation and hedging of the South African yield curve

    Published 2013
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    An investigation into popular methods for constructing yield curves

    Published 2013
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    Trading mortality

    Published 2013
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    The Libor market model and its calibration to the South African market

    Published 2013
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    Credit valuation adjustments with application to credit default swaps

    Published 2013
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    A brief analysis of certain numerical methods used to solve stochastic differential equations

    Published 2013
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    Black economic empowerment transactions and employee share options : features of non-traded call options in the South African market

    Published 2013
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    Measuring counterparty credit risk : an overview of the theory and practice

    Published 2013
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    The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems

    Published 2013
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    Valuation models for credit portfolios and collateralised debt obligations

    Published 2013
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    Macroeconomic stress testing of a corporate credit portfolio

    Published 2014
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    Investigating stochastic portfolio theory with applications to the South African equity market

    Published 2014
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    A study on interest rate basis - risk models after the 2008 liquidity crunch

    Published 2015
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    Outlining a practical approach to price and hedge minimum rate of return guarantees embedded in recurring - contribution life insurance contracts

    Published 2015
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    A comparative study of tree - based models and their applications in modern nance

    Published 2015
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