All Stories

  1. Examining swap butterfly risk premia in South Africa

    Article • Investment Analysts Journal, September 2023, Taylor & Francis

    Prof Eben Mare

  2. Pricing two-asset rainbow options with the fast Fourier transform

    Article • January 2023, Stellenbosch University

    Prof Eben Mare

  3. On the calibration of stochastic volatility models to estimate the real-world measure used in option pricing

    Article • ORiON, January 2023, Stellenbosch University

    Prof Eben Mare

  4. An economic scenario generator for embedded derivatives in South Africa

    Article • South African Actuarial Journal, December 2022, African Journals Online (AJOL)

    Prof Eben Mare

  5. Quantitative guidelines for retiring (more safely) in South Africa

    Article • South African Actuarial Journal, December 2022, African Journals Online (AJOL)

    Prof Eben Mare

  6. Suitability of the 2.5% net discount rate for quantum of damage calculations in South Africa

    Article • South African Actuarial Journal, December 2022, African Journals Online (AJOL)

    Prof Eben Mare

  7. Efficient Pricing of Spread Options with Stochastic Rates and Stochastic Volatility

    Article • Journal of Risk and Financial Management, October 2022, MDPI AG

    Prof Eben Mare

  8. Numerical Simulations of Cryptocurrency Asset Flow Fractional Differential Equations

    Article • Applied Mathematics & Information Sciences, September 2022, Natural Sciences Publishing

    Prof Eben Mare

  9. Collateralised option pricing in a South African context: A Univariate GARCH approach

    Article • Cogent Economics & Finance, August 2022, Taylor & Francis

    Prof Eben Mare

  10. Determining safe retirement withdrawal rates using forward-looking distributions

    Article • South African Journal of Science, March 2022, Academy of Science of South Africa

    Prof Eben Mare

  11. Pricing collateralised options in the presence of counterparty credit risk: An extension of the Heston–Nandi model

    Article • South African Statistical Journal, January 2022, Stellenbosch University

    Prof Eben Mare

  12. VIX-Termynopsieverskansing: Toepassing van die Heston-Nandi-model

    Article • Suid-Afrikaanse Tydskrif vir Natuurwetenskap en Tegnologie, January 2022, Medpharm Publications

    Prof Eben Mare

  13. GARCH option pricing and implied FX volatility indices

    Article • Studies in Economics and Econometrics, September 2021, Taylor & Francis

    Prof Eben Mare

  14. Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing

    Article • Journal of Risk and Financial Management, June 2021, MDPI AG

    Prof Eben Mare

  15. Why has the equal weight portfolio underperformed and what can we do about it?

    Article • Quantitative Finance, April 2021, Taylor & Francis

    Prof Eben Mare

  16. Comparative performance of time spectral methods for solving hyperchaotic finance and cryptocurrency systems

    Article • Chaos Solitons & Fractals, April 2021, Elsevier

    Prof Eben Mare

  17. Price discovery in the volatility index option market: A univariate GARCH approach

    Article • Finance Research Letters, April 2021, Elsevier

    Prof Eben Mare

  18. Optimale ontrekkingskoerse vir aftreebeleggings in Suid-Afrika

    Article • Suid-Afrikaanse Tydskrif vir Natuurwetenskap en Tegnologie, February 2021, Medpharm Publications

    Prof Eben Mare

  19. If the equal weighted portfolio is so great, why isn’t it working in South Africa?

    Article • Investment Analysts Journal, February 2021, Taylor & Francis

    Prof Eben Mare

  20. Die herwinningstelling met toepassing op risikobestuur

    Article • Suid-Afrikaanse Tydskrif vir Natuurwetenskap en Tegnologie, February 2021, Medpharm Publications

    Prof Eben Mare

  21. Fractional spectral integral methods for valuing cryptocurrency asset flow fractional differential equations.

    Article • January 2021, Authorea, Inc.

    Prof Eben Mare

  22. Should Market Makers Hedge with Realised or Implied Volatility?

    Article • November 2020, Springer Science + Business Media

    Prof Eben Mare

  23. Stress Testing Option Sensitivities in a Stochastic Market

    Article • November 2020, Springer Science + Business Media

    Prof Eben Mare

  24. GARCH option pricing models in a South African equity context

    Article • ORiON, August 2020, Stellenbosch University

    Prof Eben Mare

  25. GARCH Generated Volatility Indices of Bitcoin and CRIX

    Article • Journal of Risk and Financial Management, June 2020, MDPI AG

    Prof Eben Mare

  26. The recovery theorem with application to risk management

    Article • South African Statistical Journal, March 2020, South African Statistical Association (SASA)

    Prof Eben Mare

  27. A robust spectral integral method for solving chaotic finance systems

    Article • Alexandria Engineering Journal, March 2020, Elsevier

    Prof Eben Mare

  28. Price discovery in the cryptocurrency option market: A univariate GARCH approach

    Article • Cogent Economics & Finance, January 2020, Taylor & Francis

    Prof Eben Mare

  29. Considering the use of an equal-weighted index as a benchmark for South African equity investors

    Article • South African Actuarial Journal, December 2019, African Journals Online (AJOL)

    Prof Eben Mare

  30. Regime-based tactical allocation for equity factors and balanced portfolios

    Article • South African Actuarial Journal, December 2019, African Journals Online (AJOL)

    Prof Eben Mare

  31. A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models

    Article • Communications in Nonlinear Science and Numerical Simulation, December 2019, Elsevier

    Prof Eben Mare

  32. The Ross recovery theorem with a regularised multivariate Markov chain

    Article • ORiON, January 2019, Stellenbosch University

    Prof Eben Mare

  33. Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models

    Article • Discrete and Continuous Dynamical Systems - S, January 2019, American Institute of Mathematical Sciences (AIMS)

    Prof Eben Mare

  34. Too Much Rebalancing Is Not a Good Thing

    Article • SSRN Electronic Journal, January 2019, Elsevier

    Prof Eben Mare

  35. A note on equity returns for South African investors

    Article • South African Journal of Science, July 2018, Academy of Science of South Africa

    Prof Eben Mare

  36. Estimating option-implied distributions in illiquid markets and implementing the Ross recovery theorem

    Article • South African Actuarial Journal, January 2018, African Journals Online (AJOL)

    Prof Eben Mare

  37. The Ross Recovery Theorem with a Regularised Multivariate Markov Chain

    Article • SSRN Electronic Journal, January 2018, Elsevier

    Prof Eben Mare

  38. Banking regulations: An examination of the failure of African Bank using Merton’s structural model

    Article • South African Journal of Science, July 2017, Academy of Science of South Africa

    Prof Eben Mare

  39. A proposed best practice model validation framework for banks

    Article • South African Journal of Economic and Management Sciences, June 2017, AOSIS Open Journals

    Prof Eben Mare

  40. A Comparative Study of Spectral Methods for Valuing Financial Options

    Article • Applied Mathematics & Information Sciences, May 2017, Natural Sciences Publishing

    Prof Eben Mare

  41. Discrete singular convolution for the generalized variable-coefficient Korteweg-de Vries equation

    Article • Quaestiones Mathematicae, March 2017, Taylor & Francis

    Prof Eben Mare

  42. Fractional Black–Scholes option pricing, volatility calibration and implied Hurst exponents in South African context

    Article • South African Journal of Economic and Management Sciences, March 2017, AOSIS Open Journals

    Prof Eben Mare

  43. Discrete singular convolution mapping methods for solving singular boundary value and boundary layer problems

    Article • The European Physical Journal Plus, March 2017, Springer Science + Business Media

    Prof Eben Mare

  44. A Lagrange Regularized Kernel Method for Solving Multi-dimensional Time-Fractional Heat Equations

    Article • International Journal of Nonlinear Sciences and Numerical Simulation, January 2017, De Gruyter

    Prof Eben Mare, Jules Clement Mba

  45. A note on aspects of risk and return for South African bond investors

    Article • South African Journal of Science, November 2016, Academy of Science of South Africa

    Prof Eben Mare

  46. Homotopy perturbation transform method for pricing under pure diffusion models with affine coefficients

    Article • Journal of King Saud University - Science, September 2016, Elsevier

    Prof Eben Mare

  47. Safe spending rates for South African retirees

    Article • South African Journal of Science, January 2016, Academy of Science of South Africa

    Prof Eben Mare

  48. Pricing variable annuity guarantees in South Africa under a Variance-Gamma model

    Article • South African Actuarial Journal, December 2015, African Journals Online (AJOL)

    Prof Eben Mare

  49. Quantification of VaR: A Note on VaR Valuation in the South African Equity Market

    Article • Journal of Risk and Financial Management, February 2015, MDPI AG

    Prof Eben Mare

  50. Market Risk Management in the Context of Engineering Asset Management

    Article • January 2015, Springer Science + Business Media

    Prof Eben Mare

  51. Aspects of volatility targeting for South African equity investors

    Article • South African Journal of Economic and Management Sciences, November 2014, AOSIS Open Journals

    Prof Eben Mare

  52. Sinc Collocation Method for Solving the Benjamin-Ono Equation

    Article • Journal of Computational Methods in Physics, January 2014, Hindawi Publishing Corporation

    Prof Eben Mare

  53. Solving the Generalized Regularized Long Wave Equation Using a Distributed Approximating Functional Method

    Article • International Journal of Computational Mathematics, January 2014, Hindawi Publishing Corporation

    Prof Eben Mare

  54. A Note on a Framework to Assess the Required Equity Risk Premium Using Cumulative Prospect Theory

    Article • Theoretical Economics Letters, January 2014, Scientific Research Publishing, Inc,

    Prof Eben Mare

  55. Applying the Barycentric Jacobi Spectral Method to Price Options with Transaction Costs in a Fractional Black-Scholes Framework

    Article • Journal of Mathematical Finance, January 2014, Scientific Research Publishing, Inc,

    Prof Eben Mare

  56. A new method for interpolating yield curve data, with applications to the South African market

    Article • South African Journal of Economic and Management Sciences, November 2013, AOSIS Open Journals

    Prof Eben Mare

  57. Discrete Singular Convolution Method for Numerical Solutions of Fifth Order Korteweg-De Vries Equations

    Article • Journal of Applied Mathematics and Physics, January 2013, Scientific Research Publishing, Inc,

    Prof Eben Mare

  58. Value at Risk in the South African equity market: a view from the tails

    Article • South African Journal of Economic and Management Sciences, September 2010, AOSIS Open Journals

    Prof Eben Mare

  59. High Frequency Induced Instability in Nyström Methods for the van der Pol Equation

    Article • SIAM Journal on Numerical Analysis, January 2008, Society for Industrial & Applied Mathematics (SIAM)

    Prof Eben Mare

  60. Examining the volatility skew in the South African equity market using risk-neutral historical distributions

    Article • Investment Analysts Journal, January 2006, Taylor & Francis

    Prof Eben Mare

  61. A GENERALIZED DISCRETE MULTIPLE SCALES ANALYSIS TECHNIQUE

    Article • May 1996, World Scientific Pub Co Pte Lt

    Prof Eben Mare

  62. Estimating Option-Implied Distributions in Illiquid Markets and Implementing the Ross Recovery Theorem

    Article • SSRN Electronic Journal, Elsevier

    Prof Eben Mare

  63. Fractional Black-Scholes Option Pricing, Volatility Calibration and Implied Hurst Exponents

    Article • SSRN Electronic Journal, Elsevier

    Prof Eben Mare