Magister Scientiae - MSc / Pension fund companies manage and invest large amounts of money on behalf of their members. In return for their contributions, members expect a benefit at termination of their contract. Due to the volatile nature of returns that pension funds attain, pension companies started attaching a minimum guaranteed amount to member’s benefits. In this mini-thesis we look at the pioneering work of Brennan and Schwartz [10] for pricing these minimum guarantees. The model they developed prices these minimum guarantees using option pricing theory. We also look at the model proposed by Deelstra et al. which prices minimum guarantees in a stochastic financial setting. We conclude this mini-thesis with new contributions where we look at simple alternative ways of pricing minimum guarantees. We conclude this mini-thesis with an approach, related to the work of Brennan and Schwartz [10], whereby the member’s benefit is maximised for a given minimum guaranteed amount, which comprises of multi-period guarantees. We formulate a method to find the optimal stream of these multi-period guarantees. / South Africa

Le lecteur joue un grand rôle dans la production et dans l’élaboration du sens. En effet, dès le premier contact avec un énoncé littéraire, le lecteur réel est engagé dans une « communication interactionnelle » avec l’auteur réel, surtout lorsqu'il s'agit de saisir le sens d'un récit « déroutant ». Pourtant, nous ne pouvons pas toujours préciser les types de lecteurs réels et leur capacité dans l’activation de l’acte de lecture qui doit être productif. La thèse essaye de mettre en lumière les particularités de la lecture littéraire et la difficulté d’approcher un énoncé littéraire, qui demeure un défi et une contrainte au vu de sa spécificité. Nous avons tenté de déterminer à l’aide d’exemples précis empruntés à Michel Butor, l’activité du lecteur réel que nous sommes, car ils présentent un outil intéressant pour approcher la question de la lecture chez Michel Butor, dans la mesure où ils illustrent le parcours d’une écriture « de voyage » qui va jusqu’à la mise en question du genre (Récit de voyage). Bref, il s’est avéré que la réception d’un texte est liée à nos choix les plus intimes, à nos partis pris, à nos sentiments et à nos pulsions… / The reader plays a tremendous role in the production and elaboration of meaning. Indeed, once facing a literary statement, the real reader becomes is committed (hired) with the real writer in a give-and-take relation, especially when it is a question of to seize the meaning of a «puzzling» text. Nevertheless, we cannot always advance the types of the real readers, nor can we determine their reading strategies and the related productivity. Actually, to clarify the nature and the task of the real reader is a complex work. The thesis tries to bring to light the peculiarities of the literary reading and the difficulty of approaching a literary statement. Such a reading remains, in fact, due to its particularity, a challenge and a constraint. We have tried to determine by means of precise examples Borrowed (Taken) from Michel Butor, the activity in which the real reader, whom we are, is engaged, because they present an interesting tool to approach the question of the reading at Michel Butor, as far as they illustrate the route (course) of a writing " with journey " which goes to the questioning of the kind (Travel story). In brief, it has turned out that the reception of a text is bound (connected) to our most intimate choices, to our taken parts, to our feelings and to our drives…

Philosophiae Doctor - PhD / Many problems in financial world are being modeled by means of differential equation. These problems are time dependent, highly nonlinear, stochastic and heavily depend on the previous history of time. A variety of financial products exists in the market, such as forwards, futures, swaps and options. Our main focus in this thesis is to use the numerical analysis tools to solve some option pricing problems. Depending upon the inter-relationship of the financial derivatives, the dimension of the associated problem increases drastically and hence conventional methods (for example, the finite difference methods or finite element methods) for solving them do not provide satisfactory results. To resolve this issue, we use a special class of numerical methods, namely, the mesh free methods. These methods are often better suited to cope with changes in the geometry of the domain of interest than classical discretization techniques. In this thesis, we apply these methods to solve problems that price standard and non-standard options. We then extend the proposed approach to solve Heston' volatility model. The methods in each of these cases are analyzed for stability and thorough comparative numerical results are provided. / South Africa

South African property investment vehicles consist of collective investment schemes in property (CISPs), also known as property unit trusts (PUTs) and property loan stock (PLS) companies. The application of sections 25B(1), 11(s), 10(1)(k)(i)(aa) and 64B(5)(b) of the Income Tax Act 58 of 1962 (“the Act”) and paragraph 67A(1) of the Eighth Schedule to the Act result in these property investment vehicles being taxed based on their legal form, that of a trust versus a company, rather than on their common purpose. The South African Revenue Service recognised these inconsistencies in the 2007/8 budget tax proposals and proposed that it be reviewed. In December 2007, National Treasury released a discussion paper on the reform of the listed property investment sector in South Africa. The discussion paper is aimed at adopting a real estate investment trust (REIT) regime in South Africa to make South African property investment vehicles more attractive to foreign investors as well as to address the current tax inconsistencies and fragmented regulation of the South African listed real estate sector. In this study, the current inconsistent tax treatment of these property investment vehicles is reviewed, both as to how they apply to the property investment vehicle and to their respective investors. This study further reviews how REITs in selected other countries are regulated and taxed and National Treasury’s proposals as to how REITs applicable in South Africa should be regulated and taxed. Copyright / Dissertation (MCom)--University of Pretoria, 2010. / Taxation / unrestricted

Philosophiae Doctor - PhD / Many problems in financial world are being modeled by means of differential equation. These problems are time dependent, highly nonlinear, stochastic and heavily depend on the previous history of time. A variety of financial products exists in the market, such as forwards, futures, swaps and options. Our main focus in this thesis is to use the numerical analysis tools to solve some option pricing problems. Depending upon the inter-relationship of the financial derivatives, the dimension of the associated problem increases drastically and hence conventional methods (for example, the finite difference methods or finite element methods) for solving them do not provide satisfactory results. To resolve this issue, we use a special class of numerical methods, namely, the mesh free methods. These methods are often better suited to cope with changes in the geometry of the domain of interest than classical discretization techniques. In this thesis, we apply these methods to solve problems that price standard and non-standard options. We then extend the proposed approach to solve Heston's volatility model. The methods in each of these cases are analyzed for stability and thorough comparative numerical results are provided.

Thesis (M.Sc. (Horticulture)) -- University of Limpopo, 2022 / Cold storage is commonly used to prolong papaya fruit storability. Furthermore, the optimal recommended storage temperature is below 10℃ for export and distant market. However, chilling injury (CI) occurs at 10℃ or lower during prolonged cold storage. This condition hampered consumer acceptance, resulting in economic losses for producers and exporters. Therefore, the study aimed to investigate the potential of postharvest polyamine dips and storage conditions to improve the quality and shelf life of ‘Solo’ papaya fruit. The experiment was conducted as 4 x 2 factorial arranged in a completely randomised design (CRD) with eight replications. The fruits were treated with putrescine (PUT) (0 (control), 1, 2 and 3 mM) before storage for 21 days at 7.5 and 13℃ plus 5 days storage at ambient temperature. Additionally, the PUT effect on quality attributes and shelf-life were studied. The results showed that physiological and pathological disorders increased with progressive storage, irrespective of storage temperature. However, PUT treatment reduced the incidence of chilling injury and anthracnose at both 7.5 and 13℃. Additionally, the interaction of treatment and cold storage temperature significantly affected ‘Solo’ papaya fruit physical and biochemical quality attributes. Furthermore, treatment with 2 and 3 mM PUT concentration reduced changes in colour, mass, firmness, TA, and TSS compared to control. In conclusion, postharvest PUT improved ‘Solo’ papaya fruit quality and prolonged shelf-life. / AgriSETA (Agricultural Sector Training Authority)

Subject of the submitted thesis is the issue of currency options. The aim is the detailed analysis of currency options forcefully on dealing, characteristics, methods of pricing and their use for hedging strategies. The first part of the thesis presents an introduction into the option theory. The second part is about dealing, pricing and arbitrage relationships of currency options. In this part are two option pricing model extracted -- the binomial options pricing model for pricing currency options and the Garman-Kohlhagen model for pricing European currency options. In the third part is an example for a currency put option hedging strategy.

本研究在考慮交易成本的情況下，利用羅吉斯模型、類神經模型以及其兩者的混合模型建立一分類器，用以識別台灣選擇權與期貨市場中違反買權賣權平價等式的套利訊號。由逐筆成交資料的實證結果顯示，無論在金融海嘯（2007）、景氣復甦（2008）或是平穩時期（2012~2014）時，就識別率來說三種模型相差不大，但就獲利性而言混合模型有略優於其他兩者的表現。 / Considering the transaction cost, we establish a binary classifier system by logistic regression, artificial neural networks and hybird model with aboves. The system is used for distinguishing valid arbitrage opportunities which violated put call parity in Taiwan option and future market. By tickdata, we find that, although three models has same accuracy on classification almostly, hybird model is grater then the others in profitability no matter in depression(2007), boom(2008) or business steady state(2012~2014).

論文摘要 Reiner（1992）說明投資人對他國投資股票時，除了關心外國股價風險外，也關切匯率變動的風險，所以他提出了匯率連動選擇權，來規避匯率風險。另外，對於規避股價風險方面，Bouaziz, Briys and Crouhy（1994；以下簡稱BBC（1994））為了防止商品受人為操縱或其他原因而產生不合理的股價風險，提出遠期生效亞洲選擇權。以及Gray及Whaley（1999）提出了重設型賣權，它不但具有一般賣權的基本特徵，也能使投資人於購買股票時，同時買進一個重設型賣權。它不但可規避股價下跌的風險，在股價上升時，因賣權的重設使得保險的底值（Floor）向上提昇而鎖住股價上漲的資本利得。 本論文分別結合上述兩種選擇權的特徵（規避匯率風險與股價風險）而設計出兩種新金融商品，分別是：「匯率連動遠期生效亞洲選擇權」與「匯率連動重設型賣權」。它們的優點為：（1）可提供投資人同時對外國股價風險及匯率風險進行避險。（2）同時，評價模型的簡單化（類似Black-Scholes模型）以及避險操作的簡易性，使發行券商（或銀行）可獲得風險控管，因此可降低避險損失，提昇利潤。

This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility. In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. In Paper II, we study the optimal liquidation problem under the assumption that the asset price follows a geometric Brownian motion with unknown drift, which takes one of two given values. The optimal strategy is to liquidate the first time the asset price falls below a monotonically increasing, continuous time-dependent boundary. In Paper III, we investigate the optimal liquidation problem under the assumption that the asset price follows a jump-diffusion with unknown intensity, which takes one of two given values. The best liquidation strategy is to sell the asset the first time the jump process falls below or goes above a monotone time-dependent boundary. Paper IV treats the optimal dividend problem in a model allowing for positive jumps of the underlying firm value. The optimal dividend strategy is of barrier type, i.e. to pay out all surplus above a certain level as dividends, and then pay nothing as long as the firm value is below this level. Finally, in Paper V it is shown that a necessary and sufficient condition for the explosion of implied volatility near expiry in exponential Lévy models is the existence of jumps towards the strike price in the underlying process.