Florence Chikurunhe

Peregrine Securities

Derivatives and Quantitative Analyst

21 Main Road

Claremont

Cape Town, Western Cape 7700

South Africa

http://www.peregrine.co.za

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 15,415

SSRN RANKINGS

Top 15,415

in Total Papers Downloads

6,056

SSRN CITATIONS
Rank 31,684

SSRN RANKINGS

Top 31,684

in Total Papers Citations

3

CROSSREF CITATIONS

31

Scholarly Papers (26)

1.

Factor Investing in South Africa

Number of pages: 28 Posted: 05 Nov 2016 Last Revised: 08 Nov 2016
Emlyn Flint, Anthony Seymour and Florence Chikurunhe
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 862 (53,045)
Citation 4

Abstract:

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risk factors, factor investing, factor modelling, risk attribution, style analysis, multi-factor portfolios, portfolio construction

2.

Thinking About Theta: An Analysis of Time Decay, Early Unwind and Closeout Feedback Effects

Number of pages: 24 Posted: 19 Apr 2017
Anthony Seymour, Florence Chikurunhe and Emlyn Flint
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 686 (71,715)
Citation 1

Abstract:

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option theta, time decay, early unwind, option-expiry effects, option returns

3.

Regime-Based Tactical Allocation for Equity Factors and Balanced Portfolios

Number of pages: 24 Posted: 06 Jul 2017
Emlyn Flint, Florence Chikurunhe and Anthony Seymour
Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 594 (85,932)
Citation 1

Abstract:

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Regime-switching models, tactical asset allocation, equity factors, balanced portfolios, market timing

4.

Managing Tail Risk Part I: Option-Based Hedging

Number of pages: 28 Posted: 06 Apr 2021 Last Revised: 12 Apr 2021
Emlyn Flint, Florence Chikurunhe and Ndinae Masutha
Peresec, Peregrine Securities and affiliation not provided to SSRN
Downloads 546 (95,580)

Abstract:

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Tail risk, tail risk hedging, option hedging, risk management

5.

Trading the Term Premium

Number of pages: 36 Posted: 18 Jan 2023
Luke van Schaik, Emlyn Flint and Florence Chikurunhe
Peresec, Peresec and Peregrine Securities
Downloads 486 (110,126)

Abstract:

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term premium, fixed income, affine term structure model, systematic trading strategy

6.

The Information Hidden in Derivatives Markets

Peregrine Securities, 2016
Number of pages: 24 Posted: 25 Apr 2016 Last Revised: 10 May 2016
Emlyn Flint, Anthony Seymour and Florence Chikurunhe
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 317 (178,375)

Abstract:

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option-implied distributions, Ross recovery theorem, SVI model, tikhonov regularization, implied information

7.

The Cost of a Free Lunch: Dabbling in Diversification

Peregrine Securities, 2015
Number of pages: 29 Posted: 22 Apr 2016 Last Revised: 28 Apr 2016
Emlyn Flint, Florence Chikurunhe and Anthony Seymour
Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 232 (244,623)
Citation 4

Abstract:

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Diversification, concentration, risk measures, regime-dependent, portfolio optimisation

8.

Currency Hedging for Global Equity Portfolios: Historical Performance

Number of pages: 24 Posted: 08 Dec 2017
Anthony Seymour, Florence Chikurunhe and Emlyn Flint
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 196 (286,048)
Citation 1

Abstract:

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currency hedging, portfolio optimization with derivatives, risk management, dynamic trading strategy

9.

Dynamic Portfolio Management Strategies: A Framework for Historical Analysis

Number of pages: 32 Posted: 18 Jul 2018
Anthony Seymour, Emlyn Flint and Florence Chikurunhe
University of Cape Town (UCT), Peresec and Peregrine Securities
Downloads 177 (313,256)

Abstract:

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Dynamic trading strategies, backtesting, call options, asset allocation, factor investing

10.

In Search of the Perfect Hedge Underlying

Peregrine Securities, 2015
Number of pages: 28 Posted: 23 Apr 2016 Last Revised: 17 May 2016
Emlyn Flint, Anthony Seymour and Florence Chikurunhe
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 177 (313,256)
Citation 3

Abstract:

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hedging error, return decomposition, risk decomposition, mixed integer quadratic programming, basket option pricing, long/short basket options

11.

What is the Optimal Offshore Allocation?

Number of pages: 12 Posted: 09 Dec 2022 Last Revised: 14 Apr 2023
Emlyn Flint, Florence Chikurunhe and Ndinae Masutha
Peresec, Peregrine Securities and affiliation not provided to SSRN
Downloads 175 (316,568)

Abstract:

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offshore allocation, currency hedging, portfolio optimisation

12.

Defining Activeness: Active Share, Risk Share & Factor Share

Number of pages: 24 Posted: 12 Dec 2017 Last Revised: 08 Jan 2018
Emlyn Flint, Anthony Seymour and Florence Chikurunhe
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 175 (316,568)

Abstract:

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active share, risk share, factor share, active management, risk decomposition, risk attribution, factor portfolios, returns based style analysis

13.

Historical Analysis of Exotic Options: A General Framework

Peregrine Securities, 2013
Number of pages: 24 Posted: 22 Apr 2016 Last Revised: 28 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn Flint
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 172 (322,979)

Abstract:

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exotic option pricing, derivative portfolio backtesting

14.

Adapting to Market Regimes with Timed Hedging

Peregrine Securities, 2014
Number of pages: 36 Posted: 22 Apr 2016 Last Revised: 28 Apr 2016
Emlyn Flint, Anthony Seymour and Florence Chikurunhe
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 145 (370,761)
Citation 6

Abstract:

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Hedge timing, moving averages, momentum, implied volatility, turbulence index

15.

Full-Scale Optimization: A Flexible Framework for Hedge Design

Peregrine Securities, 2014
Number of pages: 28 Posted: 22 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn Flint
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 143 (374,786)

Abstract:

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full scale optimization, hedge design, portfolio construction

16.

Hedge Design: A Systematic Approach

Pelegrine Securities, 2012
Number of pages: 20 Posted: 21 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn Flint
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 131 (401,471)
Citation 3

Abstract:

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Hedge design, derivative hedge optimisation

17.

Currency Hedge Design: Accounting for Uncertain Correlation and Volatility

Peregrine Securities, 2015
Number of pages: 28 Posted: 23 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn Flint
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 112 (451,592)
Citation 2

Abstract:

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currency hedging, dynamic conditional correlation, DCC model, portfolio hedging, portfolio optimization

18.

Single Stock and Custom Basket Options in Fund Management

Peregrine Securities, 2014
Number of pages: 28 Posted: 22 Apr 2016
Anthony Seymour, Emlyn Flint and Florence Chikurunhe
University of Cape Town (UCT), Peresec and Peregrine Securities
Downloads 106 (469,963)
Citation 2

Abstract:

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implied volatility calibration, single stock option pricing, basket option pricing, portfolio hedging

19.

Estimation with Flexible Probabilities: Identifying Rand Hedges, Finding Diversifiers, Enhancing Style Analysis

Number of pages: 28 Posted: 04 Feb 2019 Last Revised: 10 Feb 2019
Emlyn Flint, Anthony Seymour and Florence Chikurunhe
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 100 (489,424)

Abstract:

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flexible probabilities, state-weighted estimation, currency exposure, diversification, style analysis

20.

Reduction of Interim Risk Through Options: An Analysis of Maximum Drawdown

Peregrine Securities, 2012
Number of pages: 28 Posted: 21 Apr 2016 Last Revised: 28 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn Flint
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 97 (499,472)

Abstract:

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Interim risk, maximum drawdown, option hedging

21.

(Un)Modelling the Volatility Surface: Valuing South African Volatility Surfaces Via Risk-Neutral Historic Return Distributions

Peregrine Securities, 2012
Number of pages: 38 Posted: 21 Apr 2016
Emlyn Flint, Florence Chikurunhe and Anthony Seymour
Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 94 (509,752)
Citation 2

Abstract:

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Nonparametric option price, Risk-neutral historical distributions, Canonical valuation

22.

Currency Options for Fund Managers

Peregrine Securities, 2016
Number of pages: 27 Posted: 22 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn Flint
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 89 (527,611)

Abstract:

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Currency options, risk management, portfolio construction

23.

Trends in the South African Hedging Space Part I: Derivatives Market Trade Numbers & Equity Index Concentration

Peregrine Securitites, 2013
Number of pages: 40 Posted: 21 Apr 2016
Emlyn Flint, Anthony Seymour and Florence Chikurunhe
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 68 (616,052)

Abstract:

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Derivatives market statistics, index concentration

24.

Currency Management for Offshore Investing

Peregrine Securities, 2015
Number of pages: 24 Posted: 22 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn Flint
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 64 (635,840)
Citation 1

Abstract:

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Curency hedging, offshore investing, portfolio optimisation

25.

A Guide to South African Volatility: Understanding, Modelling, Investing & Hedging

Peregrine Securities, 2014
Number of pages: 33 Posted: 22 Apr 2016 Last Revised: 28 Apr 2016
Emlyn Flint, Florence Chikurunhe and Anthony Seymour
Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 63 (640,839)

Abstract:

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implied volatility modelling, volatility dynamics, option return decomposition, variance swap pricing, volatility trading

26.

Trends in the South African Hedging Space Part II: Measuring Risk and Finding Return

Peregrine Securities 2013
Number of pages: 32 Posted: 22 Apr 2016
Emlyn Flint, Anthony Seymour and Florence Chikurunhe
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 49 (720,572)
Citation 4

Abstract:

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risk factor modelling, best-subsets regression, exceedence correlation, conditional correlation, cross-sectional volatility