Recent Submissions

  • Levy processes and quantum mechanics : an investigation into the distribution of log returns 

    Le Roux, Christiaan Hugo (Stellenbosch : Stellenbosch University, 2021-03)
    ENGLISH SUMMARY : It is well known that log returns on stocks do not follow a normal distribution as is assumed under the Black-Scholes pricing formula. This study investigates alternatives to Brownian Motion which are ...
  • Validation of independent components using a hypothesis testing approach 

    De Koker, Corine (Stellenbosch : Stellenbosch University, 2020-12)
    ENGLISH ABSTRACT: The main focus of this thesis is the validation of Independent Component Analysis (ICA), a popular technique used in signal processing. In a typical application, the purpose of ICA is to extract non-Gaussian ...
  • The appropriateness of ISDA SIMM for delta risk initial margin calculations in the South African over-the-counter interest rate swap market 

    Cronje, Robert (Stellenbosch : Stellenbosch University, 2020-12)
    ENGLISH SUMMARY : This research assignment assesses the appropriateness of the calibrations in the ISDA SIMM for calculating delta risk initial margin (IM) in the current over-the-counter interest rate swap market in South ...
  • Bayesian machine learning : theory and applications 

    Payne, Megan Wendy (Stellenbosch : Stellenbosch University, 2020-12)
    ENGLISH SUMMARY : Machine learning problems in general are concerned with the ability of different methods and algorithms to extract useful and interpretable information from large datasets, possibly ones which are corrupt ...
  • A deep convolutional neural network architecture for image classification 

    Pretorius, Willem Lodewikus (Stellenbosch : Stellenbosch University, 2020-12)
    ENGLISH SUMMARY : Convolutional Neural Networks (CNNs), a specialised form of Neural Networks (NNs), are wellknown for their state-of-the-art results obtained in Computer Vision (CV) and Deep Learning (DL) tasks throughout ...
  • Categorical CVA biplots 

    Rodwell, David Timothy (Stellenbosch : Stellenbosch University, 2020-12)
    ENGLISH ABSTRACT: In the modern era a great amount of emphasis is placed on data visualisation, especially in cases where a large amount of data is present. Usually, in these instances, the data is of a high-dimensional ...
  • Exploding biplots with density axes in Plotly 

    Sandilands, Delia (Stellenbosch : Stellenbosch University, 2020-12)
    ENGLISH SUMMARY : Biplots are visual approximations to multidimensional data sets and are very useful in data driven procedures. However, certain issues occur when dealing with a large number of observations or variables. ...
  • Credit curve estimation and corporate bonds in the South African market 

    Clift, Peter-John (Stellenbosch : Stellenbosch University, 2020-03)
    ENGLISH SUMMARY : Accurate fair value measurement of financial instruments serves as one of many mechanisms to enhance the integrity of financial institutions, particularly as it relates to counterparty credit risk. In ...
  • Estimating expected exposure profiles using biplot interpolation 

    Van Niekerk, Francesca (Stellenbosch : Stellenbosch University, 2020-03)
    ENGLISH SUMMARY : The accounting standards provides guidelines on how to determine the fair value for a financial asset or liability held at fair value. When considering the fair value of derivative instruments, some additional ...
  • Strategies for combining tree-based learners 

    Meyer, Nicholas George (Stellenbosch : Stellenbosch University., 2020-04)
    ENGLISH ABSTRACT: In supervised statistical learning, an ensemble is a predictive model that is the conglomeration of several other predictive models. Ensembles are applicable to both classification and regression problems ...
  • Discriminant analysis using sparse graphical models 

    Botha, Dylon (Stellenbosch : Stellenbosch University, 2020-03)
    ENGLISH SUMMARY : The objective of this thesis is the proposal of a new classification method. This classification method is an extension of classical quadratic discriminant analysis (QDA), where the focus is placed on ...
  • Short-term wind speed prediction using various forecasting methods 

    Nambandi, Maria Ndinelago (Stellenbosch : Stellenbosch University, 2020-03)
    ENGLISH SUMMARY : There is a significant challenge in finding ways to enhance energy security and decrease greenhouse gas emissions emanating from the consumption of non-renewable resources for energy. The release of ...
  • Projected naive bayes 

    Melonas, Michail C. (Stellenbosch : Stellenbosch University, 2020-03)
    ENGLISH SUMMARY : Naïve Bayes is a well-known statistical model that is recognised by the Institute of Electrical and Electronics Engineers (IEEE) as being among the top ten data mining algorithms. It performs classification ...
  • Interpreting decision boundaries of deep neural networks 

    Wessels, Zander (Stellenbosch : Stellenbosch University, 2019-12)
    ENGLISH ABSTRACT: As deep learning methods are becoming the front runner among machine learning techniques, the importance of interpreting and understanding these methods grows. Deep neural networks are known for their ...
  • Recommender systems 

    Dumbleton, Bronwyn Catherine (Stellenbosch : Stellenbosch University, 2019-12)
    ENGLISH ABSTRACT: A Recommender System (RS) is a particular type of information filtering system used to propose relevant items to users. Their successful application in online retail is reflected in increased customer ...
  • Improving hyperplane based density clustering solutions with applications in image processing 

    Kenyon, Jacob Bradley (Stellenbosch : Stellenbosch University, 2019-04)
    ENGLISH SUMMARY : Minimum Density Hyperplane (MDH) clustering is a recently proposed method that seeks the location of an optimal low-density separator by directly minimising the integral of the empirical density function ...
  • Deep learning for tabular data : an exploratory study 

    Marais, Jan Andre (Stellenbosch : Stellenbosch University, 2019-04)
    ENGLISH SUMMARY : From about 2006, deep learning has proven to be very successul in application areas such as computer vision, natural language processing, speech and audio recognition, machine translation, bioinformatics, ...
  • Preconditioning for feature selection in classification 

    Pretorius, Jani (Stellenbosch : Stellenbosch University, 2019-04)
    ENGLISH SUMMARY : Increased dimensionality of data is a clear trend that has been observed over the past few decades. However, analysing high-dimensional data in order to predict an outcome can be problematic. In certain ...
  • Predicting equity movements using structural models of debt pricing and statistical learning 

    Singh, Kiran Ryan (Stellenbosch : Stellenbosch University, 2019-04)
    ENGLISH SUMMARY : Valuation is not an interesting problem in corporate finance, it is the only problem. Price and value are assumed to be the same number in economic theories of equilibrium and perfect capital markets. The ...
  • Investigation into the appropriateness of the South African microinsurance solvency capital regulation 

    Melville, William George (Stellenbosch : Stellenbosch University, 2019-04)
    ENGLISH ABSTRACT : In South Africa, there are two different regulatory capital requirement options for insurers selling microinsurance products. The first is the capital requirement for traditional insurers under the ...

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