Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal security price. But, for Levy processes the S-space transition densities are often very...

This article analyzes the specifications of option pricing models based on time-changed Levy processes. We classify option pricing models based on (i) the structure of the jump component in the underlying return process, (ii) the source of stochastic volatility, and (iii) the specification of...

We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be calculated using this model. We use ultra-high-frequency data for blue-chip companies to motivate a particular choice of...

The aim of this paper is to show that option prices in jump-diffusion models can be computed using meshless methods based on Radial Basis Function (RBF) interpolation instead of traditional mesh-based methods like Finite Differences (FDM) or Finite Elements (FEM). The RBF technique is...

ENGLISH ABSTRACT: Life insurance and pension funds offer a wide range of products that are invested in a mix ofassets. These portfolios (II), underlying the products, are rebalanced back to predetermined fixedproportions on a regular basis. This is done by selling the better performing assets...

We look at fitting regression models using data from stratified cluster samples when the strata may depend in some way on the observed responses within clusters. One important subclass of examples is that of family studies in genetic epidemiology, where the probability of selecting a family into...

Statistical tests based on the scan statistic are introduced for detecting possible increases in the occurrence of hospital events. The tests use a moving window and the theoretical aspects of the tests are investigated using Markov chain theory. The main objective of this study is to provide a...

Many statistical forecast systems are available to interested users. To be useful for decision making, these systems must be based on evidence of underlying mechanisms. Once causal connections between the mechanism and its statistical manifestation have been firmly established, the forecasts...

Thesis (MSc (Mathematical Sciences))--Stellenbosch University, 2011

Thesis (MSc (Mathematical Sciences))--University of Stellenbosch, 2011.