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...

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...

This work presents a class of models in asset pricing, whose underlying has dynamics of Affine jump diffusion type. We first present L´evy processes with their properties. We then introduce Affine jump diffusion processes whichare basically a particular class of L´evy processes. Our motivation...

Multivariate time series analysis became popular in the early 1950s when the need to analyse time series simultaneously arose in the field of economics. This study provides an overview of some of the aspects of multivariate time series analysis in the case of stationarity. The VARMA (vector...