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The identification and application of common principal components
(Stellenbosch : Stellenbosch University, 2014-12)
ENGLISH ABSTRACT: When estimating the covariance matrices of two or more populations, the covariance matrices are often assumed to be either equal or completely unrelated. The common principal components (CPC) model ...
Calculation aspects of the European rebalanced basket option using Monte Carlo methods : valuation
(Operations Research Society of South Africa, 2012)
Extra premiums can be charged to a client to guarantee a minimum payout of a contract on a portfolio that gets rebalanced on a regular basis back to fixed proportions. The valuation of this premium can be changed to that ...