Thesis (M.Com. (Marketing Management and Information Systems))--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2012. / In today‟s increasingly dynamic and competitive markets, organizations are continuously pressurized to meet financial targets in order to realise company goals in an efficient and effective manner. The banking sector in South Africa has, for a very long time, operated in a predominantly oligopoly market, however, due to increasing pressure from new entrants like Capitec Bank, there has been a shift of focus to ensuring long term profitability and competitiveness as the new entrants are constantly implementing strategies that cause customer switching. The literature reveals that long-term profitability requires that a firm implements sustainable development projects to ensure long-term profitability. However, many of the profitability models in use today do not have a variable for sustainable development and yet it is a key factor in drawing returns on investment. This study adopts the South African banking sector and investigates the applicability of Rust, Lemon and Zeithaml‟s (2004) return on investment model for the various initiatives that the banks have implemented. From qualitative research with the banks, it was found that sustainable development forms a large part of the annual budget with the aim of improving the brand perceptions and increasing the likelihood of customer retention and attraction. However, the results from the bank‟s customers reveal that the initiatives being sponsored by the banks have very little effect on their decision to switch or remain banking with a specified bank. Basic customer satisfaction techniques like clear communication and customer care still outweigh any corporate initiative like sponsoring the local soccer league thus although these initiatives do benefit to keep the brand name in customer‟s minds, they do less in realising returns. The model reveals a technique to quantify return on investment taking into account factors like sustainable development and it was found that the model is applicable and useful in a South African setting. Recommendations include applying the model to gauge not only the possibility of returns but also how much a company can expect to receive after investing a specified amount of money on any initiative. This model will be very useful for planning especially for capital intensive projects as the current economic environment cannot accommodate for misappropriation of funds. / MT2017

A research report submitted to the School of Economic and Business Sciences, Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment (50%) of the requirements for degree of Master of Commerce in Finance. March 2016 / This study attempts to determine the possible effects of individualism on industry volatility. The implications of this for behavioural finance are extensive, showing firstly that different industries react differently to behavioural biases and secondly that overconfidence is a possible driver of the positive effect of individualism on industry volatility. The country selection process was relatively objective, taking two countries with high individualism indexes and two with low indexes and including one with a medium index value. The result was a sample of the United States of America, the United Kingdom, South Africa, China and Taiwan. The industry selection process was more subjective. Industries were selected which should have a higher propensity to behavioural biases with lower book to market ratios (software and computer services industry and pharmaceutical and biotechnology industry) and other industries which should not be as strongly affected by behavioural biases (banks, mining, oil and gas producers, and mobile telecommunications industries). In order to correct for ARCH effects the series’ were modelled using a GARCH (1, 1) model. The resulting residuals, which showed no autocorrelation, were then used to conduct panel data regressions on each of the industries. The results confirmed that individualism had a positive effect on volatility in the industries which were expected (software and computer services and pharmaceuticals and biotechnology industries). However, it was also determined that the banks industry was significantly affected by individualism, an effect which it was hypothesised, was due to the individualism of employees as opposed to investors. / MT2017

Thesis submitted in fulfilment of the requirements for the Masters in Finance and Investments in the Faculty of Commerce, Law and Management Wits Business School At the University of Witwatersrand / The study focuses on determining the driving factors of the performance of different hedge fund strategies in the South African industry. This is done through the application of an augmented capital asset pricing model. The model is predicated on the original (Sharpe, 1964) and (Lintner, 1965) Capital Asset Pricing Model. The researcher uses the excess market returns and the South African Volatility index as independent variables in the explanation of hedge fund returns at strategy and portfolio level. Through the analysis, the researcher finds that the excess market returns and the South African Volatility Index characterize the hedge fund expected returns for some of the strategies using OLS and GMM techniques. The second section uses a system of seemingly unrelated regressions for both the OLS and GMM techniques to determine if the two explanatory variables are priced into the different strategies; this indeed is shown to be the case for some of the strategies examined in the analysis. / MT2017

The main objective of this thesis is to simulate, evaluate and discuss three standard methodologies of calculating Value-at-Risk (VaR) : Historical simulation, the Variance-covariance method and Monte Carlo simulations. Historical simulation is the most common nonparametric method. The Variance-covariance and Monte Carlo simulations are widely used parametric methods. This thesis defines the three aforementioned VaR methodologies, and uses each to calculate 1-day VaR for a hypothetical portfolio through MATLAB simulations. The evaluation of the results shows that historical simulation yields the most reliable 1-day VaR for the hypothetical portfolio under extreme market conditions. Finally, this paper concludes with a suggestion for further studies : a heavy-tail distribution should be used in order to imporve the accuracy of the results for the two parametric methods used in this study. / by Kyong Chung. / Thesis (M.S.)--Florida Atlantic University, 2012. / Includes bibliography. / Mode of access: World Wide Web. / System requirements: Adobe Reader.

The main objective of this thesis is to simulate, evaluate and discuss several methods for pricing European-style options. The Black-Scholes model has long been considered the standard method for pricing options. One of the downfalls of the Black-Scholes model is that it is strictly continuous and does not incorporate discrete jumps. This thesis will consider two alternate Levy models that include discretized jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion. We will use each of the three models to price real world stock data through software simulations and explore the results.Keywords: Levy Processes, Brownian motion, Option pricing, Simulation, Black-Scholes, Merton Jump Diffusion, Kou, Kou's Double Exponential Jump Diffusion. / Includes bibliography. / Thesis (M.S.)--Florida Atlantic University, 2013.

Wong Chi Leung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 98-99). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Table of Contents --- p.iv / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- The Model --- p.6 / Chapter 2.1. --- Environment --- p.6 / Chapter 2.2. --- Autarkic equilibrium --- p.9 / Chapter 2.3. --- Equilibrium with unfettered international capital mobility --- p.14 / Figures of Chapter 2 --- p.20 / Chapter Chapter 3. --- Regarding Asymmetric Information Problem as a Subsidy --- p.23 / Chapter 3.1. --- Equilibrium without differential degree in asymmetric information --- p.23 / Chapter 3.2. --- Simulating asymmetric information by a subsidy --- p.26 / Figures of Chapter 3 --- p.29 / Chapter Chapter 4. --- Barrier as a Policy Instrument --- p.30 / Chapter 4.1. --- Introduction to barrier policy --- p.30 / Chapter 4.2. --- Fixing southern investment target --- p.32 / Chapter 4.3. --- Possibility of the stabilization policy to improve both countries' steady states --- p.36 / Chapter 4.4. --- Time-invarying barrier for attaining long-run target --- p.44 / Chapter 4.5. --- Inducing worldwide optimal path --- p.50 / Chapter 4.6. --- Precluding poverty trap --- p.56 / Figures of Chapter 4 --- p.59 / Chapter Chapter 5. --- Welfare --- p.66 / Chapter 5.1. --- Welfare effects at the agent level --- p.66 / Chapter 5.2. --- Welfare effects at the country level: introduction --- p.68 / Chapter 5.3. --- Next-period welfare effects at the country level: the South erects the policy --- p.70 / Chapter 5.4. --- Steady-state welfare effects at the country level: the South erects the policy --- p.73 / Chapter 5.5. --- Next-period welfare effects at the country level: the North erects the policy --- p.75 / Chapter 5.6. --- Steady-state welfare effects at the country level: the North erects the policy --- p.78 / Figures of Chapter 5 --- p.83 / Chapter Chapter 6. --- Epilogue --- p.84 / "Table of results: a comparison with Espinosa-Vega, Smith and Yip (2000)" --- p.87 / Appendix --- p.90 / Appendix A --- p.90 / Appendix B --- p.90 / Appendix C --- p.91 / Appendix D --- p.95 / References --- p.98

by Lo Ting Shek = 複雜適應系統中的個體為本模型 / 盧庭碩. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 105-107). / Text in English; abstracts in English and Chinese. / by Lo Ting Shek = Fu za shi ying xi tong zhong de ge ti wei ben mo xing / Lu Tingshuo. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Minority game --- p.9 / Chapter 2.1 --- The model --- p.9 / Chapter 2.2 --- Review on selected work on MG --- p.13 / Chapter 2.2.1 --- Market efficiency and Phase transition --- p.13 / Chapter 2.2.2 --- Crowd effect in MG --- p.17 / Chapter 2.2.3 --- Hamming distance between strategies --- p.19 / Chapter 2.2.4 --- Statistical mechanics of systems with heterogeneous agents --- p.21 / Chapter 3 --- Theory of the minority game --- p.23 / Chapter 3.1 --- Formalism --- p.23 / Chapter 3.2 --- Discussion --- p.31 / Chapter 4 --- Evolutionary Minority Game --- p.33 / Chapter 4.1 --- Model --- p.33 / Chapter 4.2 --- Results --- p.36 / Chapter 4.3 --- Discussion --- p.38 / Chapter 5 --- Theory of the Evolutionary Minority game --- p.43 / Chapter 5.1 --- The theory of D'hulst and Rodgers [1] --- p.44 / Chapter 5.1.1 --- Discussion on the D'hulst and Rodgers's theory --- p.51 / Chapter 5.2 --- Theory of EMG [2] --- p.54 / Chapter 5.2.1 --- Formalism --- p.55 / Chapter 5.2.2 --- Results --- p.60 / Chapter 5.2.3 --- Discussion --- p.66 / Chapter 6 --- Evolutionary Minority Game with arbitrary cutoffs --- p.68 / Chapter 6.1 --- Model --- p.68 / Chapter 6.2 --- Results --- p.69 / Chapter 6.3 --- Theory --- p.76 / Chapter 6.4 --- Discussion --- p.85 / Chapter 7 --- Evolutionary minority game with heterogeneous strategy distribution --- p.88 / Chapter 7.1 --- Model --- p.89 / Chapter 7.2 --- Results --- p.90 / Chapter 7.3 --- Discussion --- p.99 / Chapter 8 --- Conclusion --- p.103

Ding, Yue. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese.

Thesis. 1975. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics. / Vita. / Bibliography: leaves 337-347. / Ph.D.

This dissertation studies a collection of problems on trading assets and derivatives over finite and infinite horizons. In the first part, we analyze an optimal switching problem with transaction costs that involves an infinite sequence of trades. The investor's value functions and optimal timing strategies are derived when prices are driven by an exponential Ornstein-Uhlenbeck (XOU) or Cox-Ingersoll-Ross (CIR) process. We compare the findings to the results from the associated optimal double stopping problems and identify the conditions under which the double stopping and switching problems admit the same optimal entry and/or exit timing strategies. Our results show that when prices are driven by a CIR process, optimal strategies for the switching problems are of the classic buy-low-sell-high type. On the other hand, under XOU price dynamics, the investor should refrain from entering the market if the current price is very close to zero. As a result, the continuation (waiting) region for entry is disconnected. In both models, we provide numerical examples to illustrate the dependence of timing strategies on model parameters. In the second part, we study the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the OU, CIR or XOU model. The futures term structure is derived and its connection to futures price dynamics is examined. For each futures contract, we describe the evolution of the roll yield, and compute explicitly the expected roll yield. For the futures trading problem, we incorporate the investor's timing options to enter and exit the market, as well as a chooser option to long or short a futures upon entry. This leads us to formulate and solve the corresponding optimal double stopping problems to determine the optimal trading strategies. Numerical results are presented to illustrate the optimal entry and exit boundaries under different models. We find that the option to choose between a long or short position induces the investor to delay market entry, as compared to the case where the investor pre-commits to go either long or short. Finally, we analyze the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power or log utility. Two stochastic models are considered for the asset price -- the geometric Brownian motion (GBM) and XOU models to account for, respectively, the trending and mean-reverting price dynamics. In all cases, we derive the optimal thresholds and certainty equivalents to sell the asset, and compare them across models and utilities, with emphasis on their dependence on asset price, risk aversion, and quantity. We find that the timing option may render the investor's value function and certainty equivalent non-concave in price even though the utility function is concave in wealth. Numerical results are provided to illustrate the investor's optimal strategies and the premia associated with optimally timing to sell with different utilities under different price dynamics.