Mesias Alfeus

Department of Statistics and Actuarial Science - Stellenbosch University

Matieland

m

Stellenbosch, 7602

South Africa

SCHOLARLY PAPERS

10

DOWNLOADS

966

SSRN CITATIONS

6

CROSSREF CITATIONS

4

Ideas:
“  I am currently working on model implementation  ”

Scholarly Papers (10)

1.

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

FIRN Research Paper
Number of pages: 52 Posted: 25 May 2017 Last Revised: 17 Sep 2018
Mesias Alfeus, Martino Grasselli and Erik Schlögl
Department of Statistics and Actuarial Science - Stellenbosch University, University of Padova - Department of Mathematics and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 227 (183,585)
Citation 9

Abstract:

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tenor swap, basis, frequency basis, liquidity risk, swap market

2.

Forecasting Commodity Markets Volatility: HAR or Rough?

Number of pages: 33 Posted: 10 Feb 2020 Last Revised: 08 Mar 2020
Department of Statistics and Actuarial Science - Stellenbosch University and University of Technology Sydney - Business School
Downloads 197 (209,437)
Citation 1

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commodity markets, realized volatility, fractional Brownian motion, HAR, volatility forecast

3.

Pricing Exotic Derivatives for Cryptocurrency Assets - A Monte Carlo Perspective

Number of pages: 23 Posted: 10 Jun 2021
Mesias Alfeus and Shiam Kannan
Department of Statistics and Actuarial Science - Stellenbosch University and Cornell University
Downloads 119 (314,902)

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4.

On Numerical Methods for Spread Options

FIRN Research Paper
Number of pages: 31 Posted: 16 Jan 2018
Mesias Alfeus and Erik Schlögl
Department of Statistics and Actuarial Science - Stellenbosch University and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 113 (326,528)
Citation 1

Abstract:

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spread options, numerical methods, Fourier transform, option pricing

5.

Regime Switching Rough Heston Model

Number of pages: 29 Posted: 14 Dec 2017 Last Revised: 18 Feb 2018
Mesias Alfeus and Ludger Overbeck
Department of Statistics and Actuarial Science - Stellenbosch University and University of Giessen
Downloads 101 (352,241)
Citation 1

Abstract:

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Rough Browian Motion, Regime Switching, Heston Model, Analytic Pricing Formula, Full and Partial Monte-Carlo-Methods

6.

An Empirical Study of the Option Pricing Formula with the Underlying Banned from Short Sell

Number of pages: 26 Posted: 11 Nov 2019
Mesias Alfeus, Xin-Jiang He and Song-Ping Zhu
Department of Statistics and Actuarial Science - Stellenbosch University, University of Wollongong and University of Wollongong
Downloads 69 (440,913)

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Option pricing, Short sell ban, Calibration, S\&P/ASX 200 index, Out-of-sample.

Regularization Effect on Model Calibration

Number of pages: 21 Posted: 30 Jan 2020
Mesias Alfeus, Xin-Jiang He and Song-Ping Zhu
Department of Statistics and Actuarial Science - Stellenbosch University, University of Wollongong and University of Wollongong
Downloads 58 (488,139)

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Tikhonov Regularisation, Calibration, SABR, Heston model

Regularization Effect on Model Calibration

Journal of Risk, Vol. 24, No. 3
Number of pages: 28 Posted: 01 Mar 2022
Mesias Alfeus, Xin-Jiang He and Song-Ping Zhu
Department of Statistics and Actuarial Science - Stellenbosch University, Zhejiang University of Technology and University of Wollongong
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model calibration; regularization; option pricing model; out-of-sample forecast; global optimization.

8.

Spread Option Pricing on Single-Core and Parallel Computing Architectures

Number of pages: 10 Posted: 08 Oct 2019
Shiam Kannan and Mesias Alfeus
Cornell University and Department of Statistics and Actuarial Science - Stellenbosch University
Downloads 44 (540,601)

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Spread Option, Single Core, Parallel Computing

An Application of Financial Mathematics, Using Real Option Analysis, on Coal Production and Logistics

Number of pages: 28 Posted: 29 Mar 2022
Mesias Alfeus and James Collins
Department of Statistics and Actuarial Science - Stellenbosch University and Yancoal
Downloads 12 (777,469)

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Stochastic Volatility; Option-Pricing Theory; real option theory; Black-Scholes formula; Spread-option; Rainbow Option; FFT Method; Coal; Monte-Carlo;Closed-Form Solution; Fat-Tails

An Application of Financial Mathematics, using Real Option Analysis, on Coal Production and Logistics

Number of pages: 28 Posted: 20 Apr 2022
Mesias Alfeus and James Collins
Department of Statistics and Actuarial Science - Stellenbosch University and Independent
Downloads 9 (806,135)

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Stochastic volatility; option-pricing theory; real option theory; black-scholes formula; spread-option, rainbow option, FFT method, coal, Monte-Carlo, closed-form solution, fat-tails

10.

Stochastic Default Risk Estimation: Evidence from the South African Financial Market

Number of pages: 30 Posted: 15 Mar 2022
Mesias Alfeus, Fitzhenry Kirsty and Alessia Lederer
Department of Statistics and Actuarial Science - Stellenbosch University, STELLENBOSCH UNIVERSITY and STELLENBOSCH UNIVERSITY
Downloads 17 (707,910)

Abstract:

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Default intensity, unobservable state variables, CIR, α-CIR, extended kalman filtering