Antonie Kotze

Financial Chaos Theory

PO Box 16185

Doornfontein, 2028

South Africa

http://www.quantonline.co.za/

Department of Finance and Investment Management

Senior Research Associate

PO Box 524

Auckland Park

Johannesburg, Gauteng 2006

South Africa

http://www.uj.ac.za

SCHOLARLY PAPERS

18

DOWNLOADS
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1,527

CITATIONS
Rank 47,750

SSRN RANKINGS

Top 47,750

in Total Papers Citations

6

Scholarly Papers (18)

1.

Corporates and Financial Engineering: A Few Case Studies

Number of pages: 13 Posted: 16 Apr 2013
Antonie Kotze
Financial Chaos Theory
Downloads 332 (89,099)

Abstract:

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Hedge, Foreign Exchange, LTCM, UBS, Black and Scholes, Option Pricing, Corporate action

2.

Valuing Asian Options Using Vorst's Approximation

Number of pages: 9 Posted: 09 Jan 2013
Antonie Kotze
Financial Chaos Theory
Downloads 245 (123,197)

Abstract:

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Vorst, Asian option, average option, discrete, fixed strike

3.

Constructing a South African Index Volatility Surface from Exchange Traded Data

Number of pages: 37 Posted: 10 Jan 2013
Antonie Kotze and Angelo Joseph
Financial Chaos Theory and University of South Africa - School of Business Leadership
Downloads 167 (176,385)
Citation 6

Abstract:

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Volatility, volatility skew, volatility surface, smile, Alsi, JSE, index, quadratic deterministic function

4.

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 141 (203,026)

Abstract:

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

5.

Debt, Defaults and Crises: A Historical Perspective

Number of pages: 34 Posted: 01 Apr 2015
Antonie Kotze
Financial Chaos Theory
Downloads 116 (236,140)

Abstract:

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2008 crisis, Sovereign Debt, Default, European Crisis, Lehman Brothers, Greece Debt, PIIGS, sovereign default

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 (386,513)
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 (415,977)

Abstract:

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

7.

Double Barrier Cash or Nothing Options: A Short Note

Number of pages: 7 Posted: 09 Jan 2013
Antonie Kotze and Angelo Joseph
Financial Chaos Theory and University of South Africa - School of Business Leadership
Downloads 92 (276,427)

Abstract:

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exotic options, double barrier, binary options, cash or nothing

8.

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 (335,648)

Abstract:

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

9.

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 (370,610)

Abstract:

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

10.

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 (386,767)

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

11.

Comparing Futures and Forwards for Managing Currency Exposures in a South African Context

Number of pages: 12 Posted: 29 Mar 2013
Antonie Kotze
Financial Chaos Theory
Downloads 48 (390,331)

Abstract:

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FX, risk management, forwards, currency, foreign exchange

12.

SAFCOM/JSE Derivatives: Quantification of the South African Default Fund

Number of pages: 44 Posted: 12 Apr 2013
Antonie Kotze
Financial Chaos Theory
Downloads 33 (447,729)

Abstract:

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Basel III, IOSCO, CEM, Current exposure method, Default fund, Counterparty credit risk, Value at risk, Expected shortfall

13.

FTSE/JSE Top 40 Index Long-Term Returns

Number of pages: 13 Posted: 08 Jun 2017
Antonie Kotze
Financial Chaos Theory
Downloads 30 (461,510)
Citation 2

Abstract:

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Capital Markets, Tradable Index, Return distributions, ALSI, JSE, Top 40 index, Gold, USD, GDP

Refund Options on South African Equities

Number of pages: 12 Posted: 12 Apr 2013
Antonie Kotze
Financial Chaos Theory
Downloads 18 (545,668)

Abstract:

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Option pricing, Exotic options, Balance sheet, Hedging

Refund Options on South African Equities

Number of pages: 12 Posted: 11 Apr 2013 Last Revised: 16 Apr 2013
Antonie Kotze
Financial Chaos Theory
Downloads 10 (598,555)

Abstract:

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Option pricing, Hedging, Exotic Options, Balance sheet, Black and Scholes, Intrinsic value, cheaper options

15.

Reset Options on South African Equities

Number of pages: 11 Posted: 29 Mar 2013 Last Revised: 16 Apr 2013
Antonie Kotze
Financial Chaos Theory
Downloads 19 (520,989)

Abstract:

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Reset option, Black-Scholes, option pricing, timing the market, structured derivative, exotic options, volatility, Black and Scholes, market timing, floating strike option, lookback, floating strike lookback

16.

Instalment Warrant Mechanics

Number of pages: 7 Posted: 06 May 2013
Antonie Kotze
Financial Chaos Theory
Downloads 13 (556,056)

Abstract:

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Warrant, Instalment, Exotic option, Option pricing, Put-call-parity

17.

Current Exposure Method for CCP's Under Basel III

Risk Governance and Control: Financial Markets & Institutions, Volume 3, 2013
Posted: 11 Apr 2013 Last Revised: 01 Jul 2013
Antonie Kotze and Paul du Preez
Financial Chaos Theory and Johannesburg Securities Exchange

Abstract:

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Exposure at default, CEM, Current Exposure Method, Value at Risk, VaR, Counterparty Credit Risk, CCR, Central Counterparty, CCP, Basel, Basel III, Internal Model Methods

18.

Arbitrage-Free Implied Volatility Surfaces for Options on Single Stock Futures

North American Journal of Economics and Finance, Forthcoming
Posted: 10 Jan 2013
Financial Chaos Theory, University of the Witwatersrand, ABSA Capital Bank and University of the Witwatersrand

Abstract:

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Volatility surface, options on single stock futures, quadratic deterministic function