Opbrengskoerse van vasterentedraende effekte verander as gevolg van veranderings in vraag en aanbod op die kapitaalmark. Die veranderinge in opbrengskoerse bei'nvloed die pryse van vasterentedraende effekte, asook van die opsies op hierdie effekte en stel beleggers in hierdie instrumente bloot aan beleggingsrisiko. Hierdie studie ondersoek die uitwerking van veranderings in die opbrengskoerse op die pryse van vasterentedraende eff ekte en opsies indien geen verskansing teen beleggingsrisiko toegepas word nie. Verder word verskillende verskansingstegnieke vergelyk ten einde te bepaal welke tegniek beleggingsrisiko die mees doeltreffendste kan beperk. Die studie toon aan dat dit wenslik is om beleggings en vasterentedraende effekte en opsies teen beleggingsrisiko te verskans. Empiriese toetse is op verskeie tegnieke gedoen om te bepaal watter verskansingstegnieke beleggingsrisiko die doeltreffendste kan beperk. Die gevolgtrekking is dat beleggingsrisiko inderdaad doeltreffend beperk kan word. Vir elke posisie in vasterentedraende en opsies is 'n spesifieke verskansingstegniek gei'dentifiseer om sodanige posisie doeltreffend in terme van winsgewendheid te verskans. / Yield on fixed interest bearing securities change as a result of changes in the supply and demand in the capital market. These changes in the yield influence the prices of fixed interest securities, as well as options on fixed interest securities and expose .investors in these instruments to investment risk. This study investigates the effect of changes in yield on the prices of fixed interest securities and options if no hedging against investment risk is instituted. Different techniques are compared to establish which technique will restrict investment risk effectively. This study shows that it is desirable to hedge investments in fixed interest securities and options against investment risk. Empirical tests were conducted on a variety of techniques to establish which technique would restrict investment risk effectively. The conclusion is that investment risk can be limited. A specific technique has been identified for each position in fixed interest securities and options that can hedge such a position effectively against investment risk in terms of profitability. / Business Management / MCOM (Bedryfsekonomie)

Opbrengskoerse van vasterentedraende effekte verander as gevolg van veranderings in vraag en aanbod op die kapitaalmark. Die veranderinge in opbrengskoerse bei'nvloed die pryse van vasterentedraende effekte, asook van die opsies op hierdie effekte en stel beleggers in hierdie instrumente bloot aan beleggingsrisiko. Hierdie studie ondersoek die uitwerking van veranderings in die opbrengskoerse op die pryse van vasterentedraende eff ekte en opsies indien geen verskansing teen beleggingsrisiko toegepas word nie. Verder word verskillende verskansingstegnieke vergelyk ten einde te bepaal welke tegniek beleggingsrisiko die mees doeltreffendste kan beperk. Die studie toon aan dat dit wenslik is om beleggings en vasterentedraende effekte en opsies teen beleggingsrisiko te verskans. Empiriese toetse is op verskeie tegnieke gedoen om te bepaal watter verskansingstegnieke beleggingsrisiko die doeltreffendste kan beperk. Die gevolgtrekking is dat beleggingsrisiko inderdaad doeltreffend beperk kan word. Vir elke posisie in vasterentedraende en opsies is 'n spesifieke verskansingstegniek gei'dentifiseer om sodanige posisie doeltreffend in terme van winsgewendheid te verskans. / Yield on fixed interest bearing securities change as a result of changes in the supply and demand in the capital market. These changes in the yield influence the prices of fixed interest securities, as well as options on fixed interest securities and expose .investors in these instruments to investment risk. This study investigates the effect of changes in yield on the prices of fixed interest securities and options if no hedging against investment risk is instituted. Different techniques are compared to establish which technique will restrict investment risk effectively. This study shows that it is desirable to hedge investments in fixed interest securities and options against investment risk. Empirical tests were conducted on a variety of techniques to establish which technique would restrict investment risk effectively. The conclusion is that investment risk can be limited. A specific technique has been identified for each position in fixed interest securities and options that can hedge such a position effectively against investment risk in terms of profitability. / Business Management / MCOM (Bedryfsekonomie)

Commercial mortgage-backed securitisation (CMBS) is an important development in the South African property finance field. This study explains the characteristics; structure and structuring; advantages, disadvantages and risks; and legal and regulatory aspects of CMBS. Four CMBS programmes have been launched in South Africa to date (August 2006) all of which have been originated by listed Property Loan Stock (PLS) companies. The unique features of the four programmes were examined and the impact on their originators and the listed property sector was analysed. The main participants in the South African CMBS industry were interviewed. CMBS has acted as a catalyst for greater competition between banks resulting in lower interest rates on bank debt and the creation of new property financing products. The introduction of CMBS has benefited not only the four originating PLS companies, but also had a positive impact on the entire listed property sector. / Business Management / M. Com. (Business Management)

In this dissertation, we consider the Hull-White term structure problem with the boundary value condition given as the payoff of a European bond option. We restrict ourselves to the case where the parameters of the Hull-White model are strictly positive constants and from the risk neutral valuation formula, we first derive simple closed–form expression for pricing European bond option in the Hull-White extended Vasicek model framework. As the European option can be exercised only on the maturity date, we then examine the case of early exercise opportunity commonly called American option. With the analytic representation of American bond option being very hard to handle, we are forced to resort to numerical experiments. To do it excellently, we transform the Hull-White term structure equation into the diffusion equation and we first solve it through implicit, explicit and Crank-Nicolson (CN) difference methods. As these standard finite difference methods (FDMs) require truncation of the domain from infinite to finite one, which may deteriorate the computational efficiency for American bond option, we try to build a CN method over an unbounded domain. We introduce an exact artificial boundary condition in the pricing boundary value problem to reduce the original to an initial boundary problem. Then, the CN method is used to solve the reduced problem. We compare our performance with standard FDMs and the results through illustration show that our method is more efficient and accurate than standard FDMs when we price American bond option. / Mathematical Sciences / (M.Sc. (Mathematics))

Commercial mortgage-backed securitisation (CMBS) is an important development in the South African property finance field. This study explains the characteristics; structure and structuring; advantages, disadvantages and risks; and legal and regulatory aspects of CMBS. Four CMBS programmes have been launched in South Africa to date (August 2006) all of which have been originated by listed Property Loan Stock (PLS) companies. The unique features of the four programmes were examined and the impact on their originators and the listed property sector was analysed. The main participants in the South African CMBS industry were interviewed. CMBS has acted as a catalyst for greater competition between banks resulting in lower interest rates on bank debt and the creation of new property financing products. The introduction of CMBS has benefited not only the four originating PLS companies, but also had a positive impact on the entire listed property sector. / Business Management / M. Com. (Business Management)

In this dissertation, we consider the Hull-White term structure problem with the boundary value condition given as the payoff of a European bond option. We restrict ourselves to the case where the parameters of the Hull-White model are strictly positive constants and from the risk neutral valuation formula, we first derive simple closed–form expression for pricing European bond option in the Hull-White extended Vasicek model framework. As the European option can be exercised only on the maturity date, we then examine the case of early exercise opportunity commonly called American option. With the analytic representation of American bond option being very hard to handle, we are forced to resort to numerical experiments. To do it excellently, we transform the Hull-White term structure equation into the diffusion equation and we first solve it through implicit, explicit and Crank-Nicolson (CN) difference methods. As these standard finite difference methods (FDMs) require truncation of the domain from infinite to finite one, which may deteriorate the computational efficiency for American bond option, we try to build a CN method over an unbounded domain. We introduce an exact artificial boundary condition in the pricing boundary value problem to reduce the original to an initial boundary problem. Then, the CN method is used to solve the reduced problem. We compare our performance with standard FDMs and the results through illustration show that our method is more efficient and accurate than standard FDMs when we price American bond option. / Mathematical Sciences / (M.Sc. (Mathematics))