With the acceptance of the new Basel II banking regulation (implemented in South Africa in January 2008) the search for improved ways of modeling the most important banking activities has become very topical. Since the notion of Levy-process was introduced, it has emerged as an important tool...

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are...

The main purpose of this paper is to derive unbiased Monte Carlo estimators of various sensitivity indices for an averaged asset price dynamics governed by the gamma Lévy process. The key idea is to apply a scaling property of the gamma process with respect to the Esscher density transform...

This dissertation consists of three essays on modeling and parameter estimation for covariance non-stationary processes. The first essay considers the non-linear deformation of time scale for G(lambda)-stationary processes developed by Jiang, Gray and Woodward [2006]. After the appropriate...

This study estimates cointegration models by applying the Engle-Granger (1989) two-step es-timation procedure, the Phillip-Ouliaris (1990) residual-based test and Johansen's multivariatetechnique. The cointegration techniques are tested on the Raotbl3 data set, the World EconomicIndicators data...

Plans are far advanced to form a second monetary union, the West African Monetary Zone (WAMZ), in Africa. While much attention is being placed on convergence criteria and preparedness of the five aspiring member states, less attention is being placed on how the dynamics of inflation in...

Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financial markets. Parameters of GARCH models are usually estimated by the quasi-maximum likelihood estimator (QMLE). In recent years, economic theory often implies equilibrium between the levels of time...

This dissertation presents a detailed study of geostatistics. Included in this workare details of the development of geostatistics and its usefulness both in andoutside of the mining industry, a comprehensive presentation of the theory ofgeostatistics, and a discussion of the application of this...