ENGLISH ABSTRACT: This research report investigated whether evidence of volatility clustering exists on the FTSE/JSE Top 40 Index. The presence of volatility clustering has practical implications relating to market decisions as well as the accurate measurement and reliable forecasting of...

This study aims to investigate whether the phenomena found by Shnoll et al. when applying histogrampattern analysis techniques to stochastic processes from chemistry and physics are also present infinancial time series, particularly exchange rate and index data. The phenomena are related to...

We consider the problem of model assessment by risk estimation. Variousapproaches to risk estimation are considered in a uni ed framework. This a discussion of various complexity dimensions and approaches to obtainingbounds on covering numbers is also presented.The second type of training sample...

In this dissertation we present mathematical models that help answer health policy questions relating to HIV and Hepatitis C (HCV), and analyze bias in Markov models of disease progression. We begin by developing a Markov decision process model that examines the timing of testing and treatment...

The use of computer modeling is fast increasing in almost everyscientific, engineering and business arena. This dissertationinvestigates some challenging issues in design, modeling andanalysis of computer experiments, which will consist of four majorparts. In the first part, a new approach is...