• Building Interest Rate Curves and SABR Model Calibration 

      Mbongo Nkounga, Jeffrey Ted Johnattan (Stellenbosch : Stellenbosch University, 2015-03)
      ENGLISH ABSTRACT : In this thesis, we first review the traditional pre-credit crunch approach that considers a single curve to consistently price all instruments. We review the theoretical pricing framework and introduce ...
    • Calibration and Model Risk in the Pricing of Exotic Options Under Pure-Jump Lévy Dynamics 

      Mboussa Anga, Gael (Stellenbosch : Stellenbosch UniversityStellenbosch University, 2015-12)
      AFRIKAANSE OPSOMMING : Die groeiende belangstelling in kalibrering en modelrisiko is ’n redelik resente ontwikkeling in finansiële wiskunde. Hierdie proefskrif fokusseer op hierdie sake, veral in verband met die prysbepaling ...
    • The double Heston model via filtering methods 

      Namundjebo, Elia N (Stellenbosch : Stellenbosch University, 2016-12)
      ENGLISH ABSTRACT : Stochastic volatility models are well-known for their ability to generate a volatility smile for financial securities. The development of the stochastic volatility models followed shortly after the ...
    • Heath–Jarrow–Morton models with jumps 

      Alfeus, Mesias (Stellenbosch : Stellenbosch University, 2015-03)
      ENGLISH ABSTRACT : The standard-Heath–Jarrow–Morton (HJM) framework is well-known for its application to pricing and hedging interest rate derivatives. This study implemented the extended HJM framework introduced by ...
    • The Levy-LIBOR model with default risk 

      Walljee, Raabia (Stellenbosch : Stellenbosch University, 2015-03)
      ENGLISH ABSTRACT : In recent years, the use of Lévy processes as a modelling tool has come to be viewed more favourably than the use of the classical Brownian motion setup. The reason for this is that these processes provide ...