Thesis (M.S.)--University of Wisconsin--Madison, 1975. / eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references.

Thesis (Ph. D.)--Ohio State University, 1976. / Includes bibliographical references (leaves 167-180). Available online via OhioLINK's ETD Center.

Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2008. / Includes bibliographical references (leaves 40-42). Also available in electronic version.

Thesis--Københavns universitet. / Summary in English. Bibliography: p. [283]-286.

Thesis (Ph. D.)--Georgia State University, 2008. / Title from title page (Digital Archive@GSU, viewed July 29, 2010) Pam Ellen, committee chair; Ken Bernhardt, Ed Rigdon, Bill Bearden, committee members. Includes bibliographical references (p. 189-194).

Thesis (M. Phil.)--University of Hong Kong, 2005. / Title proper from title frame. Also available in printed format.

Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2007. / Includes bibliographical references (leaves 58-60). Also available in electronic version.

The Great Financial Crisis (GFC) of 2008 left many financial institutions devastated. Despite the practice of advanced risk management at the time, society witnessed the collapse of the “too big to fail” institutions. Gaping holes within the existing risk framework lurked, which both regulators and practitioners failed to detect. This dissertation discusses the symptoms of the crisis that were overlooked and explores the financial engineering implemented post-2008 to avoid the next crisis. The author considers the work of Hull, White, Gregory, Brigo, Kenyon, Green, Morini, Pallavicini, Piterbarg, Burgard, Kjaer, Elouerkhaoui, and Castagna. A literature review is provided for each of the mentioned names to highlight each author’s contribution to the field of Total Value Adjustment (XVA) pricing. An in-depth analysis on the funding invariance principle suggested by Elouerkhaoui is provided followed by a model implementation. The core aim of this dissertation is to review XVA valuations from a practitioners perspective using the framework provided by Elouerkhaoui. A secondary aim of the dissertation is to briefly explore the work of Aboura and Maillard on the Cornish-Fisher Transformation (CF). The CF is considered as a parsimonious approach in estimating non-normal distributions, therefore an interesting alternative to price XVA using Monte Carlo (MC) simulation. / Dissertation (MSc)--University of Pretoria, 2017. / Mathematics and Applied Mathematics / MSc / Unrestricted

Bibliography: pages 190-209. / This research proposed to identify the most accurate method of pricing rights using option pricing models, including the Black Scholes model, the Cox constant elasticity of variance model and the Merton jump diffusion model, and to determine the set of input parameters that lead to the most optimal results. The empirical results indicated that on average all of the models are able to estimate the actual rights trading prices relatively well. Some models performed better than others did and these findings were consistent with the original reasonings. The market was shown to not account for the effect of dilution. The best model prices were obtained when calculating volatility over a one year historical period that included the actual rights trading period. The hypothesis regarding trading volume showed that there is a significant impact of trading volume on the estimation of accurate option prices. The filter rule of rejecting rights prices below 10 cents and 100 cents also improved the results thus showing a bias for lower priced rights to be incorrectly valued and possibly some inefficiency in this sector of the market.

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