volatility value at risk VAR Numerical analysis Stochastic volatility

publications, research & software

Any of the publications and software listed below (without a download link) can be bought from us. Email us for details. These books, training manuals, course and seminar notes, publications and Excel calculators are extremely practical. They were written in simple English to make them highly understandable. Implementation of the models and exercises are thus done easily.

If you cannot find what you are looking for on this page, please email us for any tailor-made research or calculators you may require. More advanced versions of the Excel and VBA driven calculators are available and can be bought from us.

NB: Please see the general disclaimer at the bottom of this page.

MOST OF OUR RESEARCH CAN BE FOUND AT THE FOLLOWING REPOSITORIES:

basel III

 

Publications

  • Local Volatility Modeling of Exotic Options, Implementing the Dupire transforms in South Africa - download it
  • Pricing Exotics by Monte Carlo Simulation, Exotics, MC and local volatility - download it
  • Current Exposure Method for CCPs under Basel III, Safcom is the CCP in South Africa. We show how to use the Basel III/ IOSCO prescribed CEM for a CCP - download it
  • Volatility Surfaces, Presentation on generating index volatility surfaces in South Africa from exchange traded data - download it
  • Corporates and Equity Derivatives, This note looks at how companies use equity derivatives (puts and calls) and warrants in hedging exposures and also in gearing themselves. The Long Term Capital (LTCM) and UBS deal is also analysed - download it
  • Safex and JSE Quantitative Issues, This presentation looks at quantitative issues a derivatives exchange faces and gives some solutions and explanations - download it
  • Quantitative Problems solved in Financial Markets, This presentations gives some insight into some of the quantitative problems in financial markets and how finanancial mathematics helps in solving them - download it
  • Barrier Option Pricing and Barrier Structures, This note looks at Barrier options in South Africa and also outlines structures like Roll up Puts and Roll Down Calls that are very popular in the South African markets - download it
  • Double Barrier Cash or Nothing Options: a short note, This note describes these types of options and lists not only the pricing formulae but also the Greeks - download it
  • Comparing Futures and Forwards for Managing Currency Exposures in a South African Context, Though similar in their result, futures and forwards have a number of institutional differences that may foster different preferences among different users - download it.
  • Workshop Notes on An Introduction to Currency Derivatives in Africa, These notes were compiled for a workshop facilitated in Nairobi Kenya from 28-29 March 2011. It was an introductory course on the trading of FX options, forwards and futures specifically developed for the African community - download it.
  • Workshop Notes on Comprehensive Currency Derivatives in Africa, These notes were compiled for a workshop facilitated in Nairobi Kenya from 30-31 March 2011. This was an advanced course on the trading of FX options, forwards and futures specifically developed for the African community - download it.
  • Generating a South African Index Volatility Surface, Optimizing a deterministic quadratic function in generating the Index volatility skews/smiles from trade data as implemented by Safex - download it.
  • Delta Hedging with Futures, Short note on how to use futures contracts as hedging instruments for cash products - download it.
  • Share Instalment Warrants, Short note on the pricing of share instalment warrants listed in South Africa - download it.
  • Safex Variance Futures IMR, Initial Margin Requirements for the variance futures listed on Safex - download it.
  • Safex Volatility Skews FAQs, Frequently Asked Questions regarding volatility skews and smiles - download it.
  • Black-Scholes or Black Holes, The South African Financial Markets Journal, Issue 2 (2003) - download it or read it on the Black and Scholes page.
  • Stock Price Volatility: a primer, The South African Financial Markets Journal, 1st Online Edition - April 2005 - download it.
  • Exotic Options and Their Valuation Methodologies, Exotic options listed on Safex - download it.
  • Variance Futures listed on Safex, Exchange listed variance swaps - download it.
  • JSE International Derivatives Exchange, Exchange listed single stock futures (also known as "single name futures") on international listed stocks - download it
  • JSE Equity Options Brochure, Trading options on the South African Futures Exchange (Safex) for dummies - download it

Excel Calculators

  • Black-Scholes European option calculator - download it
  • Binomial American option calculator - download it
  • South African bond forward/fair value calculator - download it
  • Safex index and single stock/name futures initial margin requirements (IMR) calculator - download it
  • Yield-X currency futures initial margin requirements (IMR) calculator - download it

Research Papers and Talks

  • Certain Uncertain Volatility Constantly - download it
  • Derivatives on ETFs - download it
  • The Practical Application of Equity Derivatives for Corporates - download it
  • Valuing Derivatives on South African Bonds - programming implementation specification
  • Derivatives on Equities and Equity Futures in the South African Market -programming implementation specification
  • Money market Instruments in the South African Market - conventions and pricing formulas
  • Reset Options: Implementation in the South African Markets
  • Credit Derivatives: An Overview
  • Forward Start Options on Equities and Equity Futures
  • Refund Options on South African Equities
  • Barrier structures - roll up puts, roll down calls and ladders
  • Trends at International Institutions
  • Barrier Options on South African Bond Futures
  • Compound Options on South African Bonds
  • Valuing Derivatives on South African Bonds - programming implementation specification
  • Derivatives on Equities and Equity Futures in the South African Market - programming implementation specification
  • Money market Instruments in the South African Market - conventions and pricing formulas
  • Reset Options: Implementation in the South African Markets
  • Credit Derivatives: An Overview
  • Forward Start Options on Equities and Equity Futures
  • Refund Options on South African Equities
  • Barrier Options on Equities and Equity Futures
  • Barrier structures - roll up puts, roll down calls and ladders
  • Research Trends at International Institutions
  • Barrier Options on South African Bond Futures
  • Compound Options on South African Bonds

Books and Course Notes

  • Excel for Financial Markets - where applied capital markets and risk management meet Excel.
  • All African Bond and Fixed Income Markets - the essential and practical guide to the African debt markets
  • Practical Guide to the South African Bond and Bond Derivatives Market
  • Equity Derivatives - Effective and practical techniques for mastering and trading equity derivatives
  • The Black & Scholes Model for Option Pricing - an introduction
  • Certain Uncertain Volatility Constantly

Scientific Publications

  • The Quadratic Zeemann effect - A quantitative measure for Quantum Chaos, working paper (1993) - download it
  • The Quadratic Zeemann effect - Analytic Structure of the Spectrum, working paper (1992)
  • Quantum Chaos and Analytic Structure of the Spectrum, A. A. Kotzé, Ph.D. Thesis, University of the Witwatersrand (1992) - download it
  • A Matrix Representation of the Position Operator, A. A. Kotzé and W. D. Heiss, S. Afr J. Phys. 15, (1992), 102
  • Quantum Chaos and Analytic Structure of the Spectrum, W. D. Heiss and A. A. Kotzé, Physical Review A 39 (1991), 6018
  • Quantum Chaos and Properties of Eigenstates, W. D. Heiss and A. A. Kotzé, Zeitschrift für Physik A - Atomic Nuclei 337 (1990), 239
  • A One-Dimensional Model for Quantum Chaos, W. D. Heiss and A. A. Kotzé, Zeitschrift für Physik A - Atomic Nuclei 335 (1990), 131
  • The Transitional Region of Phase Transitions in Nuclear Models, A. A. Kotzé, M.Sc Dissertation, University of the Witwatersrand (1988)
  • The Transitional Region between Order and Chaos for a Quartic Potential: Classical and Chaotic case, A. A. Kotzé in Proceedings of the Workshop on Finite Dimensional Integrable Nonlinear Dynamical Systems, Johannesburg, South Africa, Eds P. G. L. Leach and W.-H. Steeb, World Scientific (1988)
  • Fluctuations in Transitional Regions of Finite Fermi Systems, W. D. Heiss and A. A. Kotzé, Zeitschrift für Physik A - Atomic Nuclei 331 (1988) 223
  • Projection Before Variation in the Lipkin Model, W. D. Heiss and A. A. Kotzé, South African Journal of Physics, 11 (1988) 26
  • Quantal Energy Spectra for a Quartic Potential, W.-H. Steeb, J. A. Louw, W. de Beer, A. A. Kotzé, Physica Scripta 36 (1988) 328

Disclaimers

Software: The author, of this software accepts no responsibility for damages resulting from the use of these products and makes no warranty or representation, either express or implied, including but not limited to, any implied warranty of merchantability or fitness for a particular purpose. This software and Excel calculators are provided "AS IS (voetstoots)", and you, its user, assume all risks when using it.

Publications: Reports and any information which may have been given orally by any director, other officer or duly authorised employee of Financial Chaos Theory (FCT) is based on information from sources believed to be reliable, but is not guaranteed as to accuracy or completeness. FCT, its affiliates,directors and other officers disclaim any responsibility for any acts or omissions arising as a result of any of the information gleaned from these reports and/or for any loss occasioned in any manner whatsoever in consequence of the information therein contained. No report nor any opinion expressed therein should be considered as an offer or allocation of an offer to sell or acquire any securities mentioned. FCT, its affiliates, directors and officers reserve the right to hold positions in securities mentioned in these publications and further reserve the right from time to time to provide or offer advisory financial services for or to receive such services from any company mentioned in these reports.

"God used beautiful mathematics in creating the world"
Paul Dirac (1902 - 1984)