Journal Articles & Book Chapters

  • Duyvené de Wit, J.J. & Polakow, D. 2017How disruptive should we expect Smart Beta to be to the South African Active Fund Management fraternity? Investment Analysts Journal. 46(1):17-31.
  • Huang, C.-S., O'Hara, J. & Mataramvura, S. 2017Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions. Journal of Computational and Applied Mathematics. 311:230-238.
  • Kateregga, M., Mataramvura, S. & Taylor, D. 2017Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives. Cogent Journal of Economics and Finance. 5(1):1384125.
  • Kateregga, M., Mataramvura, S. & Taylor, D. 2017Parameter estimation for stable distributions with application to commodity futures log-returns. Cogent Journal of Economics and Finance. 5(1):1318813.
  • Rajaratnam, B. Rajaratnam, K. & Rajaratnam, M. 2017A Theoretical Model for the Term Structure of Corporate Credit based on Competitive Advantage. European Financial Management. 23:183-210.
  • Baker, C., Rajaratnam, K. & Flint, E.J. 2016Beta Estimates of shares on the JSE Top 40 in the context of Reference-Day Risk. Environment Systems and Decisions. 36:126-141.
  • Barkhagen, M., Blomvall, J. & Platen, E. 2016Recovering the real-world density and liquidity premia from option data. Quantitative Finance. 16(7):1147-1164.
  • Capriotti, L., Jiang, Y. & Macrina, A. 2016Real-Time Risk Management: An AAD-PDE Approach. International Journal of Financial Engineering. 2(4):1550039-1550070.
  • Chan, L. & Platen, E. 2016Pricing of long dated equity-linked life insurance contracts. Stochastic Analysis and Applications. 34(2): 339-355.
  • Crépey, S., Macrina, A., Nguyen, T.M., Skovmand, D. 2016Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments. Quantitative Finance. 16(6):847-866
  • Crisafi, M.A. & Macrina, A. 2016Simultaneous Trading in 'Lit' and Dark Pools. Accepted for publication and forthcoming in International Journal of Theoretical and Applied Finance.
  • Du, K. & Platen, E. 2016Benchmarked risk minimization. Mathematical Finance. 26(3):617-637.
  • Elenjical, T., Mwangi, P., Panulo, B. & Huang, C.-S. 2016A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models: Evidence from the Johannesburg Stock Exchange. Risk Management. 18(2):89-110.
  • Fiedor, P. 2016Structural Sustainability of the Polish Trade System. Acta Physica Polonica A. 129(5):1004-1007.
  • Gao, L., Rajaratnam, K. & Beling, B. 2016Credit Scoring Decisions using a Multinomial Scorecard. Annals of Operations Research. 243:199-210.
  • Laird-Smith, J., Meyer, K. & Rajaratnam, K. 2016 A study of Total Beta specification through Symmetric Regression: The case of the Johannesburg Stock Exchange. Environment Systems and Decisions. 36:114-125.
  • Noakes, M. & Rajaratnam, K. 2016Testing Market Efficiency on the Johannesburg Stock Exchange using the Overlapping Serial Test. Annals of Operations Research. 243:273-300.
  • Rajaratnam, K., Beling, P. & Overstreet, G. 2016Models of Sequential Decision Making in Consumer Lending. Decision Analytics. 3:6.
  • Rajaratnam, K., Beling, P. & Overstreet, G. 2016Scoring Decisions in the Context of Basel II Capitalisation. Journal of the Operational Research Society. DOI: 10.1057/jors.2016.7.
  • Amien, I., Rajaratnam, K., & Kruger, R. 2015Inference of Aggregational Gaussianity in Asset Returns Exhibiting a Paretian-distribution. Procedia Economics and Finance. 25:400-407.
  • Aymanns, C. & Georg, C.-P. 2015Contagious synchronization and endogenous network formation in financial networks. Journal of Banking & Finance. 50:273-285.
  • Backwell, A. 2015State Prices and Implementation of the Recovery Theorem. Journal of Risk and Financial Management. 8(1):2-16.
  • Baudena, M., Sanchez, A., Georg, C.-P., Ruiz-Benito, P., Rodriguez, M. A., Zavala, M. A. & Rietkerk, M. 2015Revealing patterns of local species richness along environmental gradients with a novel network tool. Scientific reports, 5.
  • Chinhamu, K., Huang, C.-K., Huang. C.-S. & Chikobvu, D. 2015Extreme Risk, Value-At-Risk And Expected Shortfall In The Gold Market. International Business & Economics Research Journal. 14(1):107-122.
  • Chinhamu, K., Huang, C.-K., Huang. C.-S. & Hammujuddy, M. J. 2015Empirical Analysis of Extreme Value Models for the South African Mining Index. South African Journal of Economics. 83(1):41-55.
  • De Jager, P.G. 2015For banks, fair value adjustments do influence dividend policy. Southern African Business Review. 19(2):157-190.
  • Fiedor, P., 2015Maximum entropy production principle for stock returns. In Computational Intelligence, 2015 IEEE Symposium Series. 695-702.
  • Hoyle, E., Hughston, L. P., & Macrina, A. 2015Stable-1/2 bridges and insurance. Advances in Mathematics of Finance, Banach Center Publications, Institute of Mathematics, Polish Academy of Science. Vol 104.
  • Hulley, H. & McWalter T.A. 2015Quadratic Hedging of Basis Risk. Journal of Risk and Financial Management. 8(1):83-102.
  • Polakow, D.A. & Flint, E.J. 2015Global Risk Factors and South African Equity Indices. South African Journal of Economics. 83(4):598-616.
  • Sanderford, A., Overstreet, G.A., Beling, P. & Rajaratnam, K. 2015Energy Efficient Homes and Mortgage Risk: Crossing the Chasm at Last? A Role for Credit Modeling? Environment Systems and Decisions. 35(1):157-168.
  • De Jager, P. 2014Fair value accounting, fragile bank balance sheets and crisis: A model. Accounting, Organizations and Society. 39(2):97-116.
  • Flint, E., Osche, E. & Polakow, D. 2014Estimating Long-term Volatility Parameters for Market-Consistent Models. South African Actuarial Journal. 14:19-72.
  • Huang, C.-K., Chinhamu, K., Huang, C.-S. & Hammujuddy, M. J. 2014Generalized Hyperbolic Distributions and Value-at-Risk Estimation for the South African Mining Index. International Business & Economics Research Journal. 13(2):319-328.
  • Huang, C.-S., Huang, C.-K. & Chinhamu, K. 2014Assessing the relative performance of heavy-tailed distributions: Empirical evidence from the Johannesburg Stock Exchange. Journal of Applied Business Research. 30(4):1263-1286.
  • Ikpe, D., Mataramvura, S. & Becker, R. 2014Modelling Financial Information by conditioning. Communications on Stochastic Analysis. 8(1):99-110.
  • Kassanjee R., McWalter T.A. & Welte A. 2014Defining Optimality of a Test for Recent Infection for HIV Incidence Surveillance. AIDS Research and Human Retroviruses. 30(1):45-49.
  • Kienitz, J. 2014Interest Rate Derivatives Explained. Volume 1: Products and Markets. Palgrave McMillan.
  • Kienitz, J. 2014Transforming Volatility – Multi Curve Cap and Swaption Volatilities. International Review of Applied Financial Issues and Economics. 5(1).
  • Kruger, R. & Toerien, F. 2014The consistency of equity style anomalies on the JSE during a period of market crisis. African Finance Journal. 16(1):1-18.
  • Mackinnon, S. & Kruger, R. 2014Factors Influencing Changes In Analyst Consensus Recommendations: Evidence From The Johannesburg Stock Exchange. Journal of Applied Business Research. 30(3):959-970
  • Macrina, A. 2014Heat Kernel Models for Asset Pricing. International Journal of Theoretical & Applied Finance. 17(7):1-34.
  • Macrina, A. & Parbhoo, P. A. 2014Randomised Mixture Models for Pricing Kernels. Asia-Pacific Financial Markets. 21:281-315.
  • Ole-Meiludie, E., Mashinini, S., Huang, C-S. & Rajaratnam, K. 2014 A Comparative Study of the Effects of a Market Crisis and a Recession on the Performance of Defensive Sectors. Journal of Applied Business Research. 30(5):1501-1512.
  • Polakow, D., Taylor, D. & Mahomed, O. 2014Aggregational Gaussianity in the South African Equity Market. International Business & Economics Research Journal. 13(5):1092-1106.
  • Taylor, D. 2014 Modelling South African Single-Stock Futures Option Volatility Smiles. Investment Analysts Journal. 79:57-66.
  • Toerien, F., Rosenberg, D. & Kruger, R. 2014The asymmetry of gain-loss time horizons on the JSE. Studies in Economics and Econometrics. 38(1):65-74.
  • Rajaratnam, M., Rajaratnam, B. & Rajaratnam, K. 2014A Novel Equity Valuation and Capital Allocation Model for use by Long-term Value-Investors. Journal of Banking & Finance. 49:483-494.
  • Vasant, J., Irgolic, L., Kruger, R. & Rajaratnam, K. 2014A Comparison of Mean-Variance and Mean-Semi-variance Optimisation on the JSE. Journal of Applied Business Research. 30(6):1587-1596.
  • Kruger, R. & Toerien, F. 2013The impact of index migrations on share prices: Evidence from the Johannesburg Stock Exchange. The Journal of Applied Business Research. 29(6):1861-1872.
  • Kulikova, M. & Taylor, D. 2013Stochastic Volatility Models for Exchange Rates and Their Estimation Using Quasi-maximum-likelihood Methods: an Application to the South African Rand. Journal of Applied Statistics. 40(3):495-507.
  • Mataramvura, S. 2013Contingent Claims in Incomplete Markets. Journal of Mathematical Finance 3:426-430
  • Mayanja, F., Mataramvura, S. & Mahera, W.C. 2013A mathematical approach to a stocks portfolio selection: The case of Uganda Securities Exchange (USE). Journal of Mathematical Finance 3:487-501.
  • Plimsoll, J., Saban, B., Spheris, A. & Rajaratnam, K. 2013The Day of The Week Effect: An Analysis of the Johannesburg Stock Exchange Top 40 Firms. International Business & Economics Research Journal. 12(3):319-330.
  • Rubin, G., Overstreet, G., Beling, P. & Rajaratnam, K. 2013Dynamic Theory of Credit Unions. Annals of Operations Research. 205(1):29-53.
  • Van Gysen, M., Huang, C. & Kruger, R. 2013The performance of linear versus non-linear models in forecasting returns on the Johannesburg Stock Exchange. International Business & Economics Research Journal. 12(8):985-994.
  • Mataramvura, S. 2012The Malliavin derivative and application to pricing and hedging a European exchange option. Journal of Mathematical Finance. 2:280-290.
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