Mesias Alfeus

Department of Statistics and Actuarial Science - Stellenbosch University

Matieland

m

Stellenbosch, 7602

South Africa

  • Department of Statistics and Actuarial Science - Stellenbosch University

    • Email
    • Tel: 0633236629
    • Fax: 7405
SCHOLARLY PAPERS

11

DOWNLOADS

1,508

SSRN CITATIONS

9

CROSSREF CITATIONS

4

Ideas:
“  I am currently working on model implementation  ”

  • Department of Statistics and Actuarial Science - Stellenbosch University

    • Email
    • Tel: 0633236629
    • Fax: 7405

Scholarly Papers (11)

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1.

Forecasting Commodity Markets Volatility: HAR or Rough?

Number of pages: 33 Posted: 10 Feb 2020 Last Revised: 08 Mar 2020
Mesias Alfeus and Christina Sklibosios Nikitopoulos
Department of Statistics and Actuarial Science - Stellenbosch University and University of Technology Sydney - Business School
Downloads 367 (131,356)
Citation 2

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

2.

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 242 (202,492)
Citation 12

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

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 177 (270,116)

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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 133 (341,802)
Citation 2

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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 122 (364,517)
Citation 1

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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 101 (417,091)

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

7.

Regularization Effect on Model Calibration

Downloads 95 (434,304)

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 95 (437,647)

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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.

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

Downloads 83 (472,308)

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 59 (577,247)

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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 24 (806,282)

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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

9.

Dynamic Roughness in the Term Structure of Oil Markets Volatility

Number of pages: 34 Posted: 04 Mar 2023
Mesias Alfeus, Christina Sklibosios Nikitopoulos and Ludger Overbeck
Department of Statistics and Actuarial Science - Stellenbosch University, University of Technology Sydney - Business School and University of Giessen
Downloads 72 (512,374)

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Fractional Brownian motion, rough volatility, oil volatility, calibrated Hurst parameter, options

10.

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

Number of pages: 38 Posted: 15 Mar 2022 Last Revised: 19 Apr 2023
Mesias Alfeus, Fitzhenry Kirsty and Alessia Lederer
Department of Statistics and Actuarial Science - Stellenbosch University, Stellenbosch University and Stellenbosch University
Downloads 61 (558,559)

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

11.

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 55 (586,752)

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Spread Option, Single Core, Parallel Computing