When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks....

An overview of modern and historical interest rate model theory is given with thespecific aim of derivative pricing. A variety of stochastic interest rate models arediscussed within a South African market context. The various models arecompared with respect to characteristics such as mean...

The word numéraire refers to the unit of measurement used to value a portfolio of assets. Thechange of numéraire technique involves converting from one measurement to another. Theforeign exchange markets are natural settings for interpreting this technique (but are by no meansthe only...

This dissertation contains two topics in operations research. The first topic is to design a distribution network to facilitate the repeated movement of shipments from many origins to many destinations. A method is developed to estimate transportation costs as a function of the number of...

The use of options on various stock markets over the world has introduced a unique opportunity for investors to hedge, speculate, create synthetic financial instruments and reduce funding and other costs in their trading strategies.The power of options lies in their versatility. They enable an...

This study set out to draw a pricing comparison between two similar contracts in the South African derivatives market. These contracts, a normal option and a warrant on the same underlying stock are considered. The research shows that although the two derivatives are the same in all respects,...

This study attempts to resolve two important issues. First, it investigates the diversification benefit of crude oil for equities. Second, it examines whether or not crude oil derivatives transactions by oil and gas producers can change shareholders' wealth. With these two major goals in mind, I...

Consider an exchange economy with multiple competitive equilibria. Agents know the set of equilibria, but not which will be selected. To insure against unfavorable equilibrium outcomes, they trade on markets for commodities contingent on the equilibrium price vector. Such price-contingent...

A Synthetic Repurchase is an open market share repurchase program enhanced with sales of put derivatives on the firm’s own stock. Microsoft, in 1999, using a synthetic repurchase program sold put derivatives on its own stock and received $766 million in premiums and, at the same time, signaled...

Economics