• Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees 

      Leboho, Nakedi Wilson (Stellenbosch : Stellenbosch University, 2015-03)
      ENGLISH ABSTRACT : Equity-based insurance guarantees also known as unit-linked annuities are annuities with embedded exotic, long-term and path-dependent options which can be categorised into variable and equity indexed ...
    • On the effciency of code-based steganography 

      Ralaivaosaona, Tanjona Fiononana (Stellenbosch : Stellenbosch University, 2015-03)
      ENGLISH ABSTRACT: Steganography is the art of hiding information inside a data host called the cover. The amount of distortion caused by that embedding can influence the security of the steganographic system. By secrecy ...
    • A no-arbitrage macro finance approach to the term structure of interest rates 

      Thafeni, Phumza (Stellenbosch : Stellenbosch University, 2015-03)
      ENGLISH ABSTRACT: This work analysis the main macro-finance models of the term structure of interest rates that determines the joint dynamics of the term structure and the macroeconomic fundamentals under no-arbitrage ...
    • 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 ...
    • 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 ...
    • 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 ...