Tumellano Sebehela

University of the Witwatersrand

Lecturer

1 Jan Smuts Avenue

Braamfontein

Johannesburg, 2001

South Africa

SCHOLARLY PAPERS

27

DOWNLOADS
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SSRN RANKINGS

Top 26,161

in Total Papers Downloads

1,340

CITATIONS
Rank 45,208

SSRN RANKINGS

Top 45,208

in Total Papers Citations

3

Scholarly Papers (27)

1.

Airline Hedging Using Derivatives

ICFAI Journal of Derivatives Markets, Vol. 1, No. 2, April 2009
Number of pages: 12 Posted: 30 Aug 2011 Last Revised: 11 Oct 2013
Tumellano Sebehela and Kagiso Madimabe
University of the Witwatersrand and Schindler Lifts SA
Downloads 252 (75,036)

Abstract:

Airline Industry, Hedging Strategies, Options Obligations

2.

The Impact of the Subprime Mortgage Financial Crisis on Housing Finance in South Africa

Housing Finance International, Vol. 23, No. 4, pp. 44-46, June 2009
Number of pages: 4 Posted: 23 Aug 2011
Tumellano Sebehela
University of the Witwatersrand
Downloads 84 (224,120)

Abstract:

Defualt, mortgage finance, suprime crisis

3.

Arbitrage Illustrated by Options Models

International Journal of Financial Markets & Derivatives, 1 (1): 2012
Number of pages: 11 Posted: 09 Oct 2012 Last Revised: 13 Oct 2013
Tumellano Sebehela
University of the Witwatersrand
Downloads 72 (252,123)

Abstract:

Arbitrage, M&As, Multiple Options, Option Pricing, REITs

4.

Valuing a Listed Property Fund or Trust on the Johannesburg Securities Exchange (JSE) Using a Real Options Technique

ICFAI Journal of Derivatives Markets, Vol. 3, No. 3, pp. 64-71, July 2008
Number of pages: 9 Posted: 10 Sep 2011 Last Revised: 14 May 2013
Tumellano Sebehela
University of the Witwatersrand
Downloads 67 (246,467)
Citation 1

Abstract:

Option Pricing, REITs

5.

The 'Delta' of the Margrabe Formula

Annals of Financial Economics, 2014, 9 (3) (Forthcoming)
Number of pages: 19 Posted: 27 Nov 2013 Last Revised: 10 Mar 2015
Tumellano Sebehela
University of the Witwatersrand
Downloads 47 (258,048)

Abstract:

Delta

6.

Derivatives Hedging: SASOL (Pty) Ltd. as an Example

ICFAI Journal of Derivatives Markets, Vol. 6, No. 1, January 2009
Number of pages: 14 Posted: 30 Aug 2011 Last Revised: 14 May 2013
Tumellano Sebehela
University of the Witwatersrand
Downloads 47 (301,620)

Abstract:

Derivatives Hedging, SASOL (Pty) Ltd., Stochastic Volatility

7.

Share Price and NAV Diversion Shown by Put-Call Parity

Number of pages: 19 Posted: 12 Oct 2013 Last Revised: 01 Dec 2015
Gianluca Marcato and Tumellano Sebehela
Henley Business School - University of Reading and University of the Witwatersrand
Downloads 45 (301,620)
Citation 1

Abstract:

M&As, Put-Call Parity

8.

South Africa REITs and Alternative Investments

International Journal of Finance & Management, 2 (1), 2012: 257-261
Number of pages: 5 Posted: 21 Oct 2012
Tumellano Sebehela
University of the Witwatersrand
Downloads 39 (323,984)

Abstract:

Alpha, Alternative Investments, REITs

9.

Structured Product's Hidden Value

Journal of Modern Accounting & Auditing, 8 (6), June 2012: 891-899
Number of pages: 9 Posted: 20 Oct 2012
Tumellano Sebehela
University of the Witwatersrand
Downloads 37 (329,921)
Citation 1

Abstract:

Black-Scholes (1973) Model, Can-Do Product, Shout Option

10.

Extracting 'More' Value in the Telecommunications Industry with Real Options Analysis

Journal of Telecommunications Management, Vol. 2, No. 3, pp. 269-283, 2009
Number of pages: 15 Posted: 23 Aug 2011
Tumellano Sebehela
University of the Witwatersrand
Downloads 33 (359,419)

Abstract:

expansion option, teleccomunications industry, long American call option, multiplicative binomial tree

11.

Binary Options and Real Assets

Acuitas-Journal of Management Research, 1 (2), 2011: 45-54
Number of pages: 10 Posted: 19 Oct 2012 Last Revised: 21 Oct 2012
Tumellano Sebehela
University of the Witwatersrand
Downloads 32 (301,620)

Abstract:

All or Nothing, Binary Options, Real Assets

12.

Cash Risk Arbitrage

Number of pages: 22 Posted: 12 Oct 2013 Last Revised: 10 Nov 2016
Gianluca Marcato, Tumellano Sebehela and Carlos Heitor Campani
Henley Business School - University of Reading, University of the Witwatersrand and The COPPEAD Graduate School of Business - Federal University of Rio de Janeiro (UFRJ)
Downloads 30 (342,466)

Abstract:

Synergy

13.

South African Equities Market and Stock Market Crisis

Acuitas-Journal of Management Research, 1 (2), 2011: 9-19
Number of pages: 13 Posted: 19 Oct 2012 Last Revised: 24 Oct 2012
Kagiso Madimabe and Tumellano Sebehela
Schindler Lifts SA and University of the Witwatersrand
Downloads 29 (348,977)

Abstract:

Defensive Stocks, Subprime Crisis, Equity Performance

14.

ROA on Gold Mines in ZA

Indian Journal of Finance, 6 (3), Mar. 2012: 22-30
Number of pages: 16 Posted: 08 Oct 2012
Tumellano Sebehela
University of the Witwatersrand
Downloads 27 (382,423)

Abstract:

Closing and Opening, Gold Mines, Real Options

15.

Rationally Financing an Acquisition

Journal of Economics and Business, 2015 Forthcoming
Number of pages: 28 Posted: 02 Sep 2014 Last Revised: 13 Jun 2015
Tumellano Sebehela
University of the Witwatersrand
Downloads 25 (359,419)

Abstract:

Exchange Option

16.

Growth Options Computation

Number of pages: 23 Posted: 12 Oct 2013 Last Revised: 04 Feb 2017
Gianluca Marcato, Tumellano Sebehela and Carlos Heitor Campani
Henley Business School - University of Reading, University of the Witwatersrand and The COPPEAD Graduate School of Business - Federal University of Rio de Janeiro (UFRJ)
Downloads 24 (363,017)

Abstract:

Growth Option

17.

Option Pricing of a Failed M&A Mining Deal in South Africa

The IUP Journal of Applied Finance, Vol. 16, No. 4, pp. 62-71, April 2010
Number of pages: 11 Posted: 03 Apr 2010 Last Revised: 13 Oct 2013
Tumellano Sebehela
University of the Witwatersrand
Downloads 22 (374,289)

Abstract:

18.

ZA PLSs’ Performance and Black Swan Approach

Journal of Modern Accounting and Auditing, Vol. 7, No. 3, March 2011: 305-309
Number of pages: 6 Posted: 21 Oct 2012
Tumellano Sebehela
University of the Witwatersrand
Downloads 18 (410,164)

Abstract:

Black Swan, Passive Investment Strategy, Property Loan Stocks

19.

ROA of Real Estate Development in ZA

Journal of Modern Accounting & Auditing, 8 (3), Mar. 2012: 424-434
Number of pages: 11 Posted: 20 Oct 2012
Tumellano Sebehela
University of the Witwatersrand
Downloads 18 (415,174)

Abstract:

Expansion Option, Optionality, Real Estate Development

20.

Stochastic Valuation of Corporate Costs in a Riskless World

Number of pages: 10 Posted: 17 Mar 2015 Last Revised: 09 Jan 2017
Tumellano Sebehela
University of the Witwatersrand
Downloads 15 (386,747)

Abstract:

Combination

21.

A Probabilistic Approach to Exchange Options

Number of pages: 14 Posted: 04 Oct 2014 Last Revised: 02 Mar 2016
Tumellano Sebehela
University of the Witwatersrand
Downloads 14 (395,849)

Abstract:

Expectation

22.

Conditional-Exchange Option

Number of pages: 10 Posted: 05 Nov 2015
Tumellano Sebehela
University of the Witwatersrand
Downloads 13 (461,057)

Abstract:

Exchange option, Radon-Nikodym derivative

23.

Exchange Options Hedging

The IUP Journal of Financial Risk Management, Vol. IX, No. 1, March 2012, pp. 55-63
Number of pages: 10 Posted: 29 Sep 2012 Last Revised: 13 Oct 2013
Tumellano Sebehela
University of the Witwatersrand
Downloads 7 (476,213)

Abstract:

24.

Valuation of Game Options

Number of pages: 11 Posted: 09 Nov 2016
Tumellano Sebehela
University of the Witwatersrand
Downloads 0 (481,170)

Abstract:

Game Option

25.

Integral Put-Call Formula

Number of pages: 10 Posted: 06 Jul 2016
Tumellano Sebehela
University of the Witwatersrand
Downloads 0 (336,092)

Abstract:

Transform

26.

Portfolio Formation Memory

Annals of Financial Economics, 2016 (Forthcoming)
Number of pages: 13 Posted: 16 May 2016
Tumellano Sebehela
University of the Witwatersrand
Downloads 0 (420,253)

Abstract:

Greeks, Variance

27.

Random Exchange Option

Number of pages: 7 Posted: 05 Nov 2015 Last Revised: 20 Feb 2017
Tumellano Sebehela
University of the Witwatersrand
Downloads 0 (435,544)

Abstract:

Premium