Log in

Relevant bibliographies by topics / Finance – Mathematical models – Swaziland

Contents

Journal articles
Dissertations / Theses
Books
Book chapters
Conference papers

Academic literature on the topic 'Finance – Mathematical models – Swaziland'

Author: Grafiati

Published: 4 June 2021

Last updated: 10 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Finance – Mathematical models – Swaziland.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Finance – Mathematical models – Swaziland"

1

Byrne, Patrick, S. D. Howison, F. P. Kelly, and P. Wilmott. "Mathematical Models in Finance." Statistician 45, no. 3 (1996): 389. http://dx.doi.org/10.2307/2988481.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Busika, Themba, and Muhammad Hoque. "An investigation into the best approach to the implementation of Basel II in Swaziland." Banks and Bank Systems 12, no. 4 (2017): 131–43. http://dx.doi.org/10.21511/bbs.12(4-1).2017.02.

Full text

Abstract:

After the exposition of the Basel I Capital Accord weaknesses, the advent of the Basel II Capital Framework profoundly redefined global banking regulation and risk management practices. Many African countries had been lethargic on the migration to Basel for various reasons, amongst many being lack of skills and infrastructure. The purpose of this study was to investigate the prospect of migrating from the 1988 Basel I Capital Accord to the Basel II Capital Framework and to analyze the best approach to the implementation of the new framework in Swaziland. This was a qualitative study conducted

APA, Harvard, Vancouver, ISO, and other styles

3

CARMONA, RENÉ, and SERGEY NADTOCHIY. "TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION." International Journal of Theoretical and Applied Finance 14, no. 01 (2011): 107–35. http://dx.doi.org/10.1142/s0219024911006280.

Full text

Abstract:

Motivated by the desire to integrate repeated calibration procedures into a single dynamic market model, we introduce the notion of a "tangent model" in an abstract set up, and we show that this new mathematical paradigm accommodates all the recent attempts to study consistency and absence of arbitrage in market models. For the sake of illustration, we concentrate on the case when market quotes provide the prices of European call options for a specific set of strikes and maturities. While reviewing our recent results on dynamic local volatility and tangent Lévy models, we present a theory of t

APA, Harvard, Vancouver, ISO, and other styles

4

Fatone, Lorella, Francesca Mariani, Maria Cristina Recchioni, and Francesco Zirilli. "The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance." Open Journal of Applied Sciences 04, no. 02 (2014): 23–33. http://dx.doi.org/10.4236/ojapps.2014.42004.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Egozcue, Martín, Luis Fuentes García, Konstantinos Katsikopoulos, and Michael Smithson. "Simple models in finance: a mathematical analysis of the probabilistic recognition heuristic." Journal of Risk Model Validation 11, no. 2 (2017): 83–103. http://dx.doi.org/10.21314/jrmv.2017.175.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Scrimnger-Christian, Charmaine, and Saratiel Wedzerai Musvoto. "Rethinking The Use Of Causal Theories In Social Sciences: A Focus On Accounting And Finance." International Business & Economics Research Journal (IBER) 10, no. 10 (2011): 115. http://dx.doi.org/10.19030/iber.v10i10.5991.

Full text

Abstract:

This study highlights the problems associated with the use of deterministic models in social scientific disciplines such as accounting and finance. A deterministic theory connotes a self-defining set of physical relations and it yields a set of mathematical functions, parameterized by time, which describes how a set of ideal measure numbers changes with the time parameter while statistical models are used to describe the distribution of variations of concrete measured data from the ideal mathematical law. In this study, it is argued that in disciplines such as accounting and finance there are

APA, Harvard, Vancouver, ISO, and other styles

7

Ishimura, Naoyuki. "Research on Nonlinear Partial Differential Equations in Mathematical Finance." Impact 2020, no. 8 (2020): 48–50. http://dx.doi.org/10.21820/23987073.2020.8.48.

Full text

Abstract:

Mathematical finance is a field of applied mathematics which focuses on crafting special mathematical models and computational methods which are used by the finance markets. The basis of mathematical finance lies in probability theory which focuses on analysing the behaviour of the markets to help the prediction of any random events. From this work financial companies and individuals interested in the markets can make informed choices based on a calculated risk level. Professor Naoyuki Ishimura has performed research in mathematical finance for many years, and is currently based at Chuo Univer

APA, Harvard, Vancouver, ISO, and other styles

8

Blanchet-Scalliet, Christophette, Awa Diop, Rajna Gibson, Denis Talay, and Etienne Tanré. "Technical analysis compared to mathematical models based methods under parameters mis-specification." Journal of Banking & Finance 31, no. 5 (2007): 1351–73. http://dx.doi.org/10.1016/j.jbankfin.2006.10.017.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Rosenberger, Jay M., and H. W. Corley. "Mathematical programming models for some smallest-world problems." Nonlinear Analysis: Real World Applications 6, no. 5 (2005): 955–61. http://dx.doi.org/10.1016/j.nonrwa.2005.02.001.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Bekri, Mahmoud, Young Shin (Aaron) Kim, and Svetlozar (Zari) T. Rachev. "Tempered stable models for Islamic finance asset management." International Journal of Islamic and Middle Eastern Finance and Management 7, no. 1 (2014): 37–60. http://dx.doi.org/10.1108/imefm-10-2012-0096.

Full text

Abstract:

Purpose – In Islamic finance (IF), the safety-first rule of investing (hifdh al mal) is held to be of utmost importance. In view of the instability in the global financial markets, the IF portfolio manager (mudharib) is committed, according to Sharia, to make use of advanced models and reliable tools. This paper seeks to address these issues. Design/methodology/approach – In this paper, the limitations of the standard models used in the IF industry are reviewed. Then, a framework was set forth for a reliable modeling of the IF markets, especially in extreme events and highly volatile periods.

APA, Harvard, Vancouver, ISO, and other styles

Dissertations / Theses on the topic "Finance – Mathematical models – Swaziland"

1

Pitsillis, Zachry Steven. "Estimating dynamic affine term structure models." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/15731.

Full text

Abstract:

Duffee and Stanton (2012) demonstrated some pointed problems in estimating affine term structure models when the price of risk is dynamic, that is, risk factor dependent. The risk neutral parameters are estimated with precision, while the price of risk parameters are not. For the Gaussian models they investigated, these problems are replicated and are shown to stem from a lack of curvature in the log-likelihood function. This geometric issue for identifying the maximum of an essentially horizontal log-likelihood has statistical meaning. The Fisher information for the price of risk parameters i

APA, Harvard, Vancouver, ISO, and other styles

2

Ziervogel, Graham. "Hedging performance of interest-rate models." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20482.

Full text

Abstract:

This dissertation is a hedging back-study which assesses the effectiveness of interest- rate modelling and the hedging of interest-rate derivatives. Caps that trade in the Johannesburg swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the subsequent Hull and White (1994) two-factor extension. This is achieved by using the equivalent Gaussian additive-factor models (G1++ and G2++) outlined by Brigo and Mercurio (2007). The hedges are constructed using different combinations of theoretical zero-coupon bonds. A flexible factor hedging method

APA, Harvard, Vancouver, ISO, and other styles

3

Putyatin, Vladislav Evgenievich. "Mathematical models for derivative securities markets." Thesis, University of Southampton, 1998. https://eprints.soton.ac.uk/50648/.

Full text

Abstract:

The classical Black-Scholes analysis determines a unique, continuous, trading strategy which allows one to hedge a financial option perfectly and leads to a unique price for the option. It assumes, however, that there are no transaction costs involved in implementing this strategy, and the stock market is absolutely liquid. In this work some new results are obtained to accommodate costs of hedging, which occur in practice, and market imperfections into the option pricing framework. In Part One transaction charges are dealt with by means of the mean-variance technique, originally developed by M

APA, Harvard, Vancouver, ISO, and other styles

4

蕭德權 and Tak-kuen Siu. "Risk measures in finance and insurance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31242297.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Cullinan, Cian. "Implementation of Bivariate Unspanned Stochastic Volatility Models." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29266.

Full text

Abstract:

Unspanned stochastic volatility term structure models have gained popularity in the literature. This dissertation focuses on the challenges of implementing the simplest case – bivariate unspanned stochastic volatility models, where there is one state variable controlling the term structure, and one scaling the volatility. Specifically, we consider the Log-Affine Double Quadratic (1,1) model of Backwell (2017). In the class of affine term structure models, state variables are virtually always spanned and can therefore be inferred from bond yields. When fitting unspanned models, it is necessary

APA, Harvard, Vancouver, ISO, and other styles

6

Wort, Joshua. "Pricing with Bivariate Unspanned Stochastic Volatility Models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31323.

Full text

Abstract:

Unspanned stochastic volatility (USV) models have gained popularity in the literature. USV models contain at least one source of volatility-related risk that cannot be hedged with bonds, referred to as the unspanned volatility factor(s). Bivariate USV models are the simplest case, comprising of one state variable controlling the term structure and the other controlling unspanned volatility. This dissertation focuses on pricing with two particular bivariate USV models: the Log-Affine Double Quadratic (1,1) – or LADQ(1,1) – model of Backwell (2017) and the LinearRational Square Root (1,1) – or L

APA, Harvard, Vancouver, ISO, and other styles

7

Endekovski, Jessica. "Pricing multi-asset options in exponential levy models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31437.

Full text

Abstract:

This dissertation looks at implementing exponential Levy models whereby the un- ´ derlyings are driven by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are implemented and tested: the multi- ´ variate Variance Gamma (VG) model and the multivariate normal inverse Gaussian (NIG) model. Both models are calibrated to real market data and then used to price basket options, where the underlyings are the constituents of the KBW Bank Index. Two pricing methods

APA, Harvard, Vancouver, ISO, and other styles

8

Oagile, Joel. "Sequential Calibration of Asset Pricing Models to Option Prices." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29840.

Full text

Abstract:

This paper implements four calibration methods on stochastic volatility models. We estimate the latent state and parameters of the models using three non-linear filtering methods, namely the extended Kalman filter (EKF), iterated extended Kalman filter (IEKF) and the unscented Kalman filter (UKF). A simulation study is performed and the non-linear filtering methods are compared to the standard least square method (LSQ). The results show that both methods are capable of tracking the hidden state and time varying parameters with varying success. The non-linear filtering methods are faster and ge

APA, Harvard, Vancouver, ISO, and other styles

9

Sylvester, Matthew. "Calibrating Term Structure Models to an Initial Yield Curve." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33027.

Full text

Abstract:

The modelling of the short rate offers many advantages, with the models explored in this dissertation all offering closed-form, analytic formulae for bond prices and for options on bonds. Often, a vital primary condition is for a model to be calibrated to the initial term structure and to recover the bond prices observed in the market – that is, to be calibrated to the initial yield curve. Under the two exogenous models explored in this dissertation, the Hull-White and the CIR++, the effect of increasing the volatility parameter of the SDE increases the mean of the short rate. Increasing volat

APA, Harvard, Vancouver, ISO, and other styles

10

Guedes, Maria do Carmo Vaz de Miranda. "Mathematical models in capital investment appraisal." Thesis, University of Warwick, 1988. http://wrap.warwick.ac.uk/107492/.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Books on the topic "Finance – Mathematical models – Swaziland"

1

Mathematical finance. Wiley, 2011.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

2

Numerical techniques in finance. MIT Press, 1989.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

3

Experiments in quantitative finance. Transaction Publishers, 2011.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

4

Knight, John L. Linear factor models in finance. Elsevier/Butterworth-Heinemann, 2005.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

5

Mathematical finance: Theory, modeling, implementation. John Wiley & Sons, Inc., 2007.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

6

Iftekhar, Hasan, ed. Quantitative methods for finance and investments. Blackwell Publishers, 2002.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

7

1963-, Waldron Patrick, ed. Mathematics for economics and finance. Routledge, 2010.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

8

Handbook of computational finance. Springer, 2012.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

9

Norman, Biggs, ed. Mathematics for economics and finance: Methods and modelling. Cambridge University Press, 1996.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

10

Introduction to mathematical finance: Discrete time models. Blackwell, 1997.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

Book chapters on the topic "Finance – Mathematical models – Swaziland"

1

Fleming, Wendell H. "Optimal Investment Models and Risk Sensitive Stochastic Control." In Mathematical Finance. Springer New York, 1995. http://dx.doi.org/10.1007/978-1-4757-2435-6_6.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Biagini, Francesca. "A Quadratic Approach To Interest Rates Models In Incomplete Markets." In Mathematical Finance. Birkhäuser Basel, 2001. http://dx.doi.org/10.1007/978-3-0348-8291-0_8.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Ingersoll, J. E. "General One-Period Models." In Mathematical Finance and Probability. Birkhäuser Basel, 2003. http://dx.doi.org/10.1007/978-3-0348-8041-1_6.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Dikta, Gerhard. "Semi-parametric Random Censorship Models." In From Statistics to Mathematical Finance. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-50986-0_3.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Taniguchi, Setsuo. "Stochastic Analytical Models in Mathematical Finance." In Mathematics for Industry. Springer Japan, 2014. http://dx.doi.org/10.1007/978-4-431-55060-0_20.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

McLeish, D. L., and A. W. Kolkiewicz. "Fitting Diffusion Models in Finance." In Institute of Mathematical Statistics Lecture Notes - Monograph Series. Institute of Mathematical Statistics, 1997. http://dx.doi.org/10.1214/lnms/1215455054.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Gökay, Selim, Alexandre F. Roch, and H. Mete Soner. "Liquidity Models in Continuous and Discrete Time." In Advanced Mathematical Methods for Finance. Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-18412-3_13.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Bender, Christian, Tommi Sottinen, and Esko Valkeila. "Fractional Processes as Models in Stochastic Finance." In Advanced Mathematical Methods for Finance. Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-18412-3_3.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

González-Manteiga, Wenceslao, Jorge Passamani Zubelli, Abelardo Monsalve-Cobis, and Manuel Febrero-Bande. "Goodness–of–Fit Test for Stochastic Volatility Models." In From Statistics to Mathematical Finance. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-50986-0_6.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Mijatović, Aleksandar, and Martijn Pistorius. "Exotic Derivatives under Stochastic Volatility Models with Jumps." In Advanced Mathematical Methods for Finance. Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-18412-3_17.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Finance – Mathematical models – Swaziland"

1

Chiarella, Carl, Sara Pasquali, and Wolfgang J. Runggaldier. "On Filtering in Markovian Term Structure Models." In Proceedings of the International Conference on Mathematical Finance. WORLD SCIENTIFIC, 2001. http://dx.doi.org/10.1142/9789812799579_0012.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Ma, Jin, and Xiaodong Sun. "Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments." In Proceedings of the International Conference on Mathematical Finance. WORLD SCIENTIFIC, 2001. http://dx.doi.org/10.1142/9789812799579_0007.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Gyulov, Tihomir B., Radoslav L. Valkov, George Venkov, Ralitza Kovacheva, and Vesela Pasheva. "Classical and Weak Solutions for Two Models in Mathematical Finance." In APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE '11): Proceedings of the 37th International Conference. AIP, 2011. http://dx.doi.org/10.1063/1.3664370.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Perrotta, Adamaria. "A learner-centered approach to design a Computational Finance module in higher education." In Seventh International Conference on Higher Education Advances. Universitat Politècnica de València, 2021. http://dx.doi.org/10.4995/head21.2021.12955.

Full text

Abstract:

In this paper, we describe our design of ACM30070 “Computational Finance”, a core module in the BSc in Financial Mathematics in the School of Mathematics and Statistics. The over-arching purpose of this module is to help students to develop mathematical, statistical and coding skills, along with significant knowledge and critical thinking, that allows them to effectively construct, manipulate and visualize financial datasets and to build financial mathematical models. The use of computation and a FinTech software (FinCad Analytics) are pointed out as essential to facilitate sensemaking in comp

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!