Thesis (M. Sc.(Agricultural economics))-University of Pretoria, 2005. / Includes bibliographical references. Mode of access: World Wide Web.

Thesis (LLM)--University of Stellenbosch, 2006. / Bibliography. Also available via the Internet.

Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2004. / Includes bibliographical references (leaves 120-126). Also available in electronic version. Access restricted to campus users.

Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2009. / Includes bibliographical references (p. 58-60).

Thesis (M.Sc. (Statistics)) - Rhodes University, 2009. / A thesis submitted to Rhodes University in partial fulfillment of the requirements for the degree of Master of Science in Mathematical Statistics.

Thesis (doctoral)--Johann Wolfgang Goethe-University, 2004. / Includes bibliographical references.

Thesis (doctoral)--Johann Wolfgang Goethe-University, 2004. / Title from e-book title screen (viewed January 2, 2008). Includes bibliographical references.

No description available.

Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: Tax policy makers in South Africa have to a large extent neglected the tax treatment of derivative instruments. The Income Tax Act, No. 58 of 1962, currently only takes into account three types of financial arrangements that can be classified as being derivative in nature: forward exchange and option contracts relating to foreign exchange, interest rate swaps based on notional capital amounts and option contracts. Although the Commissioner for Inland Revenue has appointed a number of internal working committees to research this area of the law, the legislation resulting from these efforts has been piecemeal in nature, dealing only with limited aspects of the taxation of a few specific transactions. Due to the lack of specific legislative provisions regulating the tax aspects of derivatives, the general principles of South African income tax law have to be applied to these instruments. This leads to imprecise and inconsistent results, primarily due to the development of these principles long before the widespread use of derivatives in sophisticated and complex transactions. The taxation of transactions involving derivative instruments is becoming a subject of increasing practical importance in South Africa due to the number of derivative transactions escalating in quantity. The introduction of capital gains tax in South Africa has added yet a further dimension to the taxation of derivatives. In light of the increasing volume and value of derivative transactions entered into by South African taxpayers, it is imperative that clarity regarding the taxation of these transactions be reached as soon as possible. Any reform and revised tax rules which is made applicable to these instruments, need to be very flexible, as further developments in the financial instrument environment are extremely dynamic and almost changing by day. It is furthermore important that the South African tax system keeps track with international developments to enhance the countl-y's trading status and to ensure that cross border transactions do not have anomalous conseq Llences, especially for foreign counter-parties. / AFRIKAANSE OPSOMMING: Belastingbeleidmakers in Suid-Afrika het tot 'n groot mate die belastinghantering van afgeleide instrumente verwaarloos. Die Inkomstebelasingwet, No. 58 van 1962, neem tans slegs drie soorte finansiele ooreenkomste wat as afgeleide instrumente geklassifiseer kan word, in aanmerking: termynwissel- en opsiekontrakte met betrekking tot buitelandse valuta, rentekoers ruilkontrakte gebaseer op denkbeeldige kapitaalbedrae en opsiekontrakte. Alhoewel die Kommissaris van Binnelandse Inkomste 'n aantal interne werkskomitees aangestel het om ondersoek in te stel na hierdie afdeling van die reg, is die wetgewing wat voortgespruit het as uitvloeisel van hierdie pogings broksgewys van aard deurdat dit slegs met beperkte aspekte van die belasbaarheid van 'n aantal spesifieke transaksies gehandel het. Vanwee die gebrek aan spesifieke wetgewende bepalings wat die belastingaspekte van afgeleides reguleer, moet die algemene beginsels van die Suid-Afrikaanse inkol11stebelastingreg toegepas word op hierdie instrumente. Dit gee aanleiding tot onnollkeurige en teenstrydige resllltate, hoofsaaklik omdat hierdie beginsels reeds lank voor die wydverspreide gebruik van afgeleides in gesofistikeerde en ingewikkelde transaksies ontwikkel het.- Die belasbaarheid van transaksies waarby afgeleide instrumente betrokke is, is 'n onderwerp van loenemende praktiese belang in Suid-Afrika vanwee die styging in die aantal transaksies in afgeleides. Die inwerkingstelling van kapitaalwinsbelasting in Suid-Afrika het nog 'n verdere dimensie aan die belasbaarheid van afgeleide instmmente toegevoeg. lndien aggeslaan word op die toename in die aantal en waarele van transaksies in afgeleiele instrllmente wat deur Suid-Afrikaanse belastingbetalers aangegaan word, is elit noodsaaklik clat ciuidelikheid rakencle ciie belasbaarheid van hierdie transaksies so spoedig doenlik verkry word. Enige hervOiming en hersiende belastingreels wat van toepassing gemaak word op hierdie instrllmente, moet baie buigsaam wees aangesien verdere ontwikkelings in die finansieie instrumente-omgewing uiters dinamies is en bykans daagliks verander. Dit is vnorts belangrik dat die Suid-Afrikaanse belastingstelsel tred hou met intemasionale ontwikkelinge ten eincle ciie lanci se handelstatus te versterk en te verseker ciat tral1saksies oor grense heen nie onreeimatige gevolge inhou, veral vir buitelandse teenpartye nie.

Numerical methods form an important part of the pricing of financial derivatives and especially in cases where there is no closed form analytical formula. We begin our work with an introduction of the mathematical tools needed in the pricing of financial derivatives. Then, we discuss the assumption of the log-normal returns on stock prices and the stochastic differential equations. These lay the foundation for the derivation of the Black Scholes differential equation, and various Black Scholes formulas are thus obtained. Then, the model is modified to cater for dividend paying stock and for the pricing of options on futures. Multi-period binomial model is very flexible even for the valuation of options that do not have a closed form analytical formula. We consider the pricing of vanilla options both on non dividend and dividend paying stocks. Then show that the model converges to the Black-Scholes value as we increase the number of steps. We discuss the Finite difference methods quite extensively with a focus on the Implicit and Crank-Nicolson methods, and apply these numerical techniques to the pricing of vanilla options. Finally, we compare the convergence of the multi-period binomial model, the Implicit and Crank Nicolson methods to the analytical Black Scholes price of the option. We conclude with the pricing of exotic options with special emphasis on path dependent options. Monte Carlo simulation technique is applied as this method is very versatile in cases where there is no closed form analytical formula. The method is slow and time consuming but very flexible even for multi dimensional problems.