Thesis (MComm (Business Management))--University of Stellenbosch, 2011.

ENGLISH ABSTRACT: This study focuses on banking book interest rate risk management, more specifically shortterminterest rate risk management problems. This type of risk is induced by the inflationtargeting policy of the South African Reserve Bank. As a result, inflation leads to an...

I exploit a natural experiment in South Korea to examine the real effects of macroprudential foreign exchange (FX) regulations designed to reduce risk-taking by financial intermediaries. By using crossbank variation in the regulation's tightness, I show that it causes a reduction in the supply...

The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk...

Chapter 1 Preliminaries -- Chapter 2 Risk and Expected Utility -- Chapter 3 Market Pricing and Market E ciency -- Chapter 4 Modern Portfolio Theory -- Chapter 5 Asset Pricing -- Chapter 6 Introduction to Derivatives -- Chapter 7 Arbitrage and Model-free Pricing Methods- Chapter 8 Modelling,...

The appropriate monetary policy response to an asset price bubble remains unclear and is one of the most contentious issues currently facing central banks. Some have argued that monetary policy should be used to contain or reduce an asset price bubble in order to alleviate its adverse...

Presentation to the 18th Annual Hyman P. Minsky Conference on the State of the U.S. and World Economies—“Meeting the Challenges of the Financial Crisis”

This Economic Letter is adapted from a speech delivered by Janet L. Yellen, president and CEO of the Federal Reserve Bank of San Francisco, to the 18th Annual Hyman P. Minsky Conference on the State of the U.S. and World Economies on April 16, 2009, in New York City.