Now showing items 1-2 of 2
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 ...
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 ...