M.A. / Financial markets are rapidly integrating into a single global market place, and developing countries including South Africa, are increasingly part of this process. The process is being driven by both the push and the pull factors in both developed and developing countries. Nevertheless, the overwhelming majority of the developing countries still need to create the conditions to attract long-term capital flows. Although South Africa has been attracting capital flows since the 1990s, the level is not sustainable because it mainly attracts shortterm capital. It has failed to attract long-term capital on a sustainable basis because of economic and political crises facing the country. Thus, the South African government needs to build the kind of macroeconomic, regulatory and institutional environment that channels this private capital into broad - based and sustainable growth.

Abrasive blasting process optimization is aimed at establishing relationships between applied feed rates and resulting productivity and consumption rates. It is clear that the high costs of disposal of the multimedia wastes generated by the dry abrasive blasting processes are of increasing concern in the future of shipbuilding industry. In such circumstances essential care has to be given to all components of the process to enhance productivity and decrease consumption rates. This study discusses most of the process components and their respective effects on blasting productivity and consumption rates briefly and concentrates on two important process parameters, nozzle pressure and abrasive feed rate. Feed rate is a vital process parameter that contributes to the productivity and consumption rates of the process. Subsequently feed rates also can significantly impact the costs bore by Shipbuilding Industry in the form of disposal and environmental costs. Most commonly used abrasives were identified through a rigorous survey and were opted to be used in this study. The approach adopted to develop the relationships consists of a mass balance equation between the expended abrasives and disposed wastes to clean a predetermined area of a plate. The obtained data was further analysed to develop productivity rates and consumption rates for each sample runs. The data was then evaluated to formulate relationships that would enable the derivation of optimum feed rates for desirable productivity and reduced waste generation.

Master of Science / Department of Statistics / Christopher I. Vahl / Estimation of sample size is an important and critical procedure in the design of clinical trials. A trial with inadequate sample size may not produce a statistically significant result. On the other hand, having an unnecessarily large sample size will definitely increase the expenditure of resources and may cause a potential ethical problem due to the exposure of unnecessary number of human subjects to an inferior treatment. A poor estimate of the necessary sample size is often due to the limited information at the planning stage. Hence, the adjustment of the sample size mid-trial has become a popular strategy recently. In this work, we introduce two methods for sample size re-estimation for trials with a binary endpoint utilizing the interim information collected from the trial: a blinded method and a partially unblinded method. The blinded method recalculates the sample size based on the first stage’s overall event proportion, while the partially unblinded method performs the calculation based only on the control event proportion from the first stage. We performed simulation studies with different combinations of expected proportions based on fixed ratios of response rates. In this study, equal sample size per group was considered. The study shows that for both methods, the type I error rates were preserved satisfactorily.

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017. / This study examines the relationship between major commodity exports and the real exchange rate of commodity exporting countries. We make use of monthly commodity price time series data to determine the causality relationship between exchange rates and the top three commodity exports from 5 commodity exporting countries (Brazil, Chile, Mexico, Norway and South Africa). Due to the phenomenon called “Dutch Disease” commodity exporting countries’ economies are found not to experience large economic success during periods of booming export commodity prices. Using data from the IMF IFS database, only one country out of the five included in this study shows evidence of conitegration relationship between commodity prices and exchange rates, although there is some evidence of commodity prices explaining the movement of exchange rates in all five countries. We find that commodity prices do play a role in the exchange rates movement in commodity exporting countries. / MT2017

Student Number : 0318397E - MSc dissertation - School of Chemical and Metallurgical Engineering - Faculty of Engineering and the Built Environment / An experimental study of the effects of a slag phase on mass transport in a onefifth water model of a 100ton CLU-converter was conducted. The study was a follow up to earlier investigations conducted in the absence of a simulated slag phase. Kerosene (10% by volume) was used to represent the slag phase in the cold model experiments. The presence of a slag phase increased the mixing time of a tracer solution in the bath. The mixing time, defined at 99.66% bath homogeneity, was found to increase with bath height and a lowering gas flow rate. The functional relationship, Tmix = 4.39Q-0.73W0.24H1.12, was established as expressing the effect of gas flow rate (Q), bath weight (W), and bath height (H) on the mixing time (Tmix). The mixing time increased by an average of 16.3% after slag inclusion. The mass transfer parameter [(Reloc,r)0.25(Ret)0.32] values obtained in the absence of a slag phase decreased by an average of 32.2% with slag inclusion. Calculated mass transfer coefficients increased with gas flow rate and a decrease in bath height. The relationship, K Q0.08, showing derived mass transfer coefficient (K) dependence on the gas flow rate (Q) was established. The proportionality constant in the equation was observed to vary with bath height, gas flow rate and sample location. Contour maps representing variation of mass transfer coefficients in the bath regions were produced.

A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, in fulfilment of the requirements for the degree of Master of Science. Johannesburg, 2014. / The period between 2008 and 2009 was an interesting and dramatic time for financial markets. This period marked the beginning of the financial tsunami that would plague global markets for many years to come. This economic meltdown had massive effects on many everyday issues such as house prices, interest rates and inflation. Investment banks were also affected with numerous investment banks either defaulting or being taken over by the U.S. Federal Reserve to avoid default. This group of investment banks include names such as Lehman Brothers, Bear Sterns, Fannie Mae, Freddy Mac and many more. The myth of “too big to fail” was tested and failed because of the number of banks that were allowed to default during the crisis. Many things have changed because of the crisis. One area in finance that has changed is the pricing of financial derivatives. The realisation that huge investment banks can default has dried up the liquidity in capital markets. Therefore banks cannot borrow a shortfall of cash at a risk-free rate anymore but rather at a significant spread over the risk-free rate. The risk-free rate is a core concept of derivative pricing. If investment banks cannot borrow and lend at the risk-free rate then the Black-Sholes-Merton theory laid down in the 1970’s may not be applicable post the credit crisis. The aim of this dissertation is to review the framework of Piterbarg, Burgard and Kjaer to price a general derivative post the credit crisis. This review includes a variety of numerical methods to implement the framework.

This dissertation examines the pricing of the same credit risk in two currencies, and hence the valuation of credit-contingent foreign exchange products. Such pricing hinges upon the dependence of the credit risk and the foreign exchange rate. We recall the reduced-form model proposed by Ehlers (2007), which allows credit-currency dependence through correlation between the Brownian motions driving the default intensity and the exchange rate, and through a jump in the exchange rate at the default time. Four basic specifications of this model are considered. Two of these specifications have not previously appeared in the literature and one of these, based on a lognormal process for the default intensity, proves to be especially useful and tractable. The problem of hedging defaultable claims in one currency with similar claims in another is briefly considered, and it is shown that hedging against the default event and against credit spread movements are not in general equivalent.

Thesis (Ph.D. (Economics))--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic & Business Sciences, 2016. / The objective of this thesis is to investigate the recent historical dynamics of the four major nominal bilateral spot foreign exchange rates and the fifteen currency-basket nominal effective exchange rate of the South African rand (hereafter referred to as the rand). The thesis has been organised as three separate studies that add to the advancement of the knowledge of the characteristics and behaviour (causal effects) of the rand. The common thread that holds the individual chapters together is the study of the dynamics of the rand. In particular, the study establishes whether the apparent nonstationarity of the exchange rate is a product of unit root test misspecification (a failure to account for structural change), considers the connexions between the timing of the identified structural shifts and important economic and noneconomic events, and analyses rand volatility and the temporal effect of monetary policy surprises on both the spot foreign exchange market returns and volatility of the rand. In order to do this, low- and high-frequency data are employed. With regard to exchange rate modelling, the theoretical economic-exchange rate frameworks are approached both from the traditional macro-based view of exchange rate determination and a micro-based perspective. The various methodologies applied here tackle different aspects of the exchange rate dynamics. To preview the results, we find that adjusting for structural shifts in the unit root tests does not render any of the exchange rates stationary. However, the results show a remarkable fall in the estimates of volatility persistence when structural breaks are integrated into the autoregressive conditional heteroskedasticity (ARCH) framework. The empirical results also shed light on the impact of modelling exchange rates as long memory processes, the extent of asymmetric responses to ‘good news’ and ‘bad news’, the consistencies and contrasts in the five exchange rate series’ volatility dynamics, and the timing and likely triggers of volatility regime switching. Additionally, there are convincing links between the timing of structural changes and important economic (and noneconomic) events, and commonality in the structural breaks detected in the levels and volatility of the rand. We also find statistically and economically significant high-frequency exchange rate returns and volatility responses to domestic interest rate surprises. Furthermore, the rapid response of the rand to monetary policy surprises suggests a relatively high degree of market efficiency (from a mechanical perspective) in processing this information. Keywords: Exchange rate, expectations, long memory, monetary policy surprises, repo rate, structural breaks, volatility; unit root. JEL Code: C22, E52, E58, F31, F41, G14 and G15

Thesis (M.Com.(Finance)--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2016. / This study sets out to investigate whether the Taylor Rule provides better the forecasts of the future short-term interest rates than the yield curve in the South African market. For the Taylor Rule we use OLS and use the open-market forward-looking Taylor Rule to forecast interest rates. For the yield curve, simple linear interpolation is used to derive forecast. We find that in the short term, forecasted one-month ahead interest rates closely track the actuals interest rates for both models. At longer horizons, there are larger deviations of forecasts from the actual. The RMSE analyses support the Taylor Rule as a superior forecasting model in all forecasting horizons. / MT2017

Este trabalho apresenta um estudo sobre taxas de aniquilação de pósitrons em gases moleculares por meio do cálculo do parâmetro de aniquilação Zeff. O modelo Gribakin-Lee (GL) formula de maneira fenomenológica um mecanismo de captura do pósitron mediado por uma interação dipolar, descrevendo uma contribuição ressonante para Zeff dos modos vibracionais ativos-IR da molécula. Este modelo concorda muito bem quando testado aos halometanos no experimento com feixes de pósitrons, porém, falha quando aplicado ao experimento com pósitrons térmicos. Neste contexto, foram testadas algumas hipóteses para explicar a discordância entre o modelo GL aplicado ao experimento com feixes de pósitrons e ao experimento com pósitrons térmicos. Foi mostrado como o modelo GL pode ser obtido como um caso particular do formalismo dos operadores de projeção de Feshbach. As hipóteses testadas para explicar a discrepância entre os modelos foram: (i) desconsiderar a aproximação de largura zero, para uma convolução mais realista do parâmetro de aniquilação Zeff com a distribuição energética dos pósitrons; (ii) incluir combinações de modos vibracionais e overtones IR-ativos, além de modos com atividade Raman no cálculo de Zeff térmico; (iii) incluir ressonâncias rotacionais no modelo GL; e (iv) propor um modelo simplificado para a densidade eletrônica considerando a sua dependência em relação às coordenadas nucleares da molécula. Verificou-se que considerar larguras finitas na convolução de Zeff térmico e Zeff para o feixe não leva a uma diferença significativa em comparação com o modelo GL, sendo legítimo a utilização da aproximação de largura zero para as ressonâncias vibracionais de Feshbach. Quanto à inclusão de overtones e combinações ativos-IR, verificou-se que apesar deste método ser de extrema importância para ajustar Zeff no caso do experimento com feixes de pósitrons para as moléculas de metanol e etileno, a influência desta contribuição para Zeff térmico é modesta. Moléculas com baixíssimas energias de ligação, como o CH3F, podem apresentar uma possível contribuição rotacional para Zeff, representando quase que a totalidade da contribuição ressonante ao parâmetro de aniquilação. / This work presents a study of the rates of annihilation of positrons in molecular gases by calculating the annihilation parameter Zeff. The Gribakin-Lee (GL) model formulates a dipole-interaction-mediated positron capture mechanism, describing a resonant contribution to Zeff of the active-IR vibrational modes of the molecule. This model agrees very well when tested to the halomethanes in the experiment with positron beams, but fails when applied to the experiment with thermal positrons. In this context, some hypotheses were tested to explain the discrepancy between the GL model applied to the experiment with positron beams and the experiment with thermal positrons. It was shown how the GL model can be obtained as a particular case of the Feshbach projection operators formalism. The hypotheses tested to explain the discrepancy between the models were: (i) to disregard the zero-width approximation for a more realistic convolution of the annihilation parameter Zeff with the energy distribution of the positrons; (ii) to include combinations of IR-active vibrational modes and overtones, in addition to modes with Raman activity in the calculation of thermal Zeff; (iii) to include rotational resonances in the GL model and; (iv) to propose a simplified model for the electron density considering its dependence on the nuclear coordinates of the molecule. It has been found that considering finite widths in the convolution of thermal Zeff and Zeff for the beams does not lead to a significant difference from the GL model, being legitimate the use of the zero width approximation for the vibrational Feshbach resonances. Regarding the inclusion of overtones and combinations IR-active, it was found that although this method is of extreme importance to fit Zeff in the case of the experiment with positron beams for methanol and ethylene, the influence of this contribution to thermal Zeff is modest. Molecules with very low binding energies, such as CH3F, may present a possible rotational contribution to Zeff, representing almost the entire resonant contribution to the annihilation parameter.