Rudolf Oosthuizen

JSE Securities Exchange

United States

http://www.jse.co.za

SCHOLARLY PAPERS

5

DOWNLOADS

409

CITATIONS

2

Scholarly Papers (5)

1.

The New South-African Volatility Index: New SAVI

Number of pages: 6 Posted: 10 Jan 2013
Antonie Kotze, Angelo Joseph and Rudolf Oosthuizen
Financial Chaos Theory, University of South Africa - School of Business Leadership and JSE Securities Exchange
Downloads 146 (198,782)
Citation 1

Abstract:

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VIX, SAVI, volatility index, JSE, volatility swap, fear gauge

Local Volatility Modeling of JSE Exotic Can-Do Options

Number of pages: 46 Posted: 02 Jul 2014
Antonie Kotze, Rudolf Oosthuizen and Edson Pindza
Financial Chaos Theory, JSE Securities Exchange and University of Pretoria
Downloads 51 (389,436)
Citation 1

Abstract:

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Exotic options, JSE, Can-Do Options, Implied Volatility, Local Volatility, Dupire Transforms, Gyongy, Theorem, Markov Projection

Local Volatility Modeling of JSE Exotic Can-Do Options

Number of pages: 47 Posted: 01 Apr 2015
Antonie Kotze, Rudolf Oosthuizen and Edson Pindza
Financial Chaos Theory, JSE Securities Exchange and University of Pretoria
Downloads 43 (419,097)

Abstract:

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Exotic options, JSE, Can-Do Options, Implied Volatility, Local Volatility, Dupire Transforms, Gyongy Theorem, Markov Projection

3.

JSE Exotic Can-Do Options: Determining Initial Margins

Number of pages: 18 Posted: 23 Apr 2013
Antonie Kotze and Rudolf Oosthuizen
Financial Chaos Theory and JSE Securities Exchange
Downloads 66 (338,201)

Abstract:

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Option pricing, exotic options, Local volatility, initial margins, risk management, VaR, Value-at-Risk, binomial trees, trinomial trees

4.

JSE Local Volatility Finite Difference Model

Number of pages: 11 Posted: 01 Apr 2015
Rudolf Oosthuizen and Antonie Kotze
JSE Securities Exchange and Financial Chaos Theory
Downloads 54 (373,413)

Abstract:

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Finite difference, exotic options, local volatility, option pricing, JSE, Can-Do options, PDE

5.

Pricing JSE Exotic Can-Do Options: Monte Carlo Simulation

Number of pages: 37 Posted: 01 Apr 2015
Antonie Kotze and Rudolf Oosthuizen
Financial Chaos Theory and JSE Securities Exchange
Downloads 49 (389,750)

Abstract:

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Exotic options, JSE, Can-Do Options, Implied Volatility, Local Volatility, Dupire Transforms, Gyongy Theorem, Barrier options, Monte Carlo simulation, Feynmann-Kac Theorem