Since the 2001 anthrax attacks, public health officials have become concerned with planning for a potential large scale attack. Researchers have worked to model attack scenarios in order to evaluate various response policies. One response policy that has been proposed is to preemptively...

In this dissertation we study models for the valuation of portfolios of credit risky securities and collateralised debt obligations. We start with models for single security of the reduced form type and investigate means of extending these to the portfolio level concentrating on default...

In this dissertation we study models for the valuation of portfolios of credit risky securities and collateralised debt obligations. We start with models for single security of the reduced form type and investigate means of extending these to the portfolio level concentrating on default...

Longer horizon returns are modeled by two approaches, which have different impact on skewness and excess kurtosis. The Levy approach, which considers the random variable at longer horizon as the cumulants of i.i.d random variables from shorter horizons, tends to decrease skewness and excess...

In 2001, the ACM and IEEE Computing Curriculum stated that it was necessary to address "the need to develop implementation models that are international in scope and could be practiced in universities around the world." With increasing connectivity through the internet, the move towards a global...

A convertible bond (CB) is a hybrid security possessing the characteristics of both debt and equity. It gives the holder the right to convert the bond into a pre-specified number of shares (usually by the same issuer of the CB) until maturity of the bond, and may also contain additional features...

The global over-the-counter derivatives market reached a staggering 14.5 trillion US dollars in gross market value at the end of December 2007. Although OTC derivatives are extremely useful and versatile in transferring risks, it appears to be a double-edged sword. For every derivative...

The South African fixed interest rate market has historically had very little liquidity beyond 15 - 20 years. Most financial institutions are currently prepared to quote and trade interest rate risk up to a maximum term of 30 years. Any trades beyond 30 years usually attract very onerous spreads...