Financial markets exhibit high levels of volatility. Volatile markets are usually associated with high risks and uncertain investment returns. Financial institutions therefore, usually opt to hedge their investment portfolios against the high volatility using a suitable hedging structure. One...

Instalment warrants are very popular in Australia and these instruments have been listed by Nedbank and Standard Bank in South Africa.Instalments are financial products, that allow investors to gain direct exposure to shares by making a part payment upfront and delaying an optional final payment...

Exposure-at-default (EAD) is one of the most interesting and most difficult parameters to estimate in counterparty credit risk (CCR). Basel I offered only the non-internal Current Exposure Method (CEM) for estimating this quantity whilst Basel II further introduced the Standardised Method (SM)...

The current method employed by the Johannesburg Stock Exchange (JSE) to determine implied volatility is based on trade data and a linear deterministic approach. The aim of this paper is to construct a market-related arbitrage-free implied volatility surface, by using a quadratic deterministic...