Journal Articles & Book Chapters

• Huang, C.-S., O'Hara, J. & Mataramvura, S. 2017Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions. Journal of Computational and Applied Mathematics. 311:230-238.
• Barkhagen, M., Blomvall, J. & Platen, E. 2016Recovering the real-world density and liquidity premia from option data. Quantitative Finance. 16(7):1147-1164.
• Capriotti, L., Jiang, Y. & Macrina, A. 2016Real-Time Risk Management: An AAD-PDE Approach. International Journal of Financial Engineering. 2(4):1550039-1550070.
• Chan, L. & Platen, E. 2016Pricing of long dated equity-linked life insurance contracts. Stochastic Analysis and Applications. 34(2): 339-355.
• Crisafi, M.A. & Macrina, A. 2016Simultaneous Trading in 'Lit' and Dark Pools. Accepted for publication and forthcoming in International Journal of Theoretical and Applied Finance.
• Du, K. & Platen, E. 2016Benchmarked risk minimization. Mathematical Finance. 26(3):617-637.
• Duyvené de Wit, J.J. & Polakow, D. 2016How disruptive should we expect Smart Beta to be to the South African Active Fund Management fraternity? Investment Analysts Journal, In Press.
• Elenjical, T., Mwangi, P., Panulo, B. & Huang, C.-S. 2016A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models: Evidence from the Johannesburg Stock Exchange. Risk Management. 18(2):89-110.
• Amien, I., Rajaratnam, K., & Kruger, R. 2015Inference of Aggregational Gaussianity in Asset Returns Exhibiting a Paretian-distribution. Procedia Economics and Finance. 25:400-407.
• Aymanns, C. & Georg, C.-P. 2015Contagious synchronization and endogenous network formation in financial networks. Journal of Banking & Finance. 50:273-285.
• Backwell, A. 2015State Prices and Implementation of the Recovery Theorem. Journal of Risk and Financial Management. 8(1):2-16.
• Baudena, M., Sanchez, A., Georg, C.-P., Ruiz-Benito, P., Rodriguez, M. A., Zavala, M. A. & Rietkerk, M. 2015Revealing patterns of local species richness along environmental gradients with a novel network tool. Scientific reports, 5.
• Chinhamu, K., Huang, C.-K., Huang. C.-S. & Chikobvu, D. 2015Extreme Risk, Value-At-Risk And Expected Shortfall In The Gold Market. International Business & Economics Research Journal. 14(1):107-122.
• Chinhamu, K., Huang, C.-K., Huang. C.-S. & Hammujuddy, M. J. 2015Empirical Analysis of Extreme Value Models for the South African Mining Index. South African Journal of Economics. 83(1):41-55.
• Crépey, S., Macrina, A., Nguyen, T. M. & Skovmand D. 2015Rational multi-curve models with counterparty-risk valuation adjustments. Quantitative Finance. DOI: 10.1080/14697688.2015.1095348
• De Jager, P.G. 2015For banks, fair value adjustments do influence dividend policy. Southern African Business Review. 19(2):157-190.
• Gao, L., Rajaratnam, K. & Beling, B. 2015Credit Scoring Decisions using a Multinomial Scorecard. Annals of Operations Research. DOI: 10.1007/s10479-015-1799-3.
• Hoyle, E., Hughston, L. P., & Macrina, A. 2015Stable-1/2 bridges and insurance. Advances in Mathematics of Finance, Banach Center Publications, Institute of Mathematics, Polish Academy of Science. Vol 104.
• Hulley, H. & McWalter T.A. 2015Quadratic Hedging of Basis Risk. Journal of Risk and Financial Management. 8(1):83-102.
• Polakow, D.A. & Flint, E.J. 2015Global Risk Factors and South African Equity Indices. South African Journal of Economics. 83(4):598-616.
• Sanderford, A., Overstreet, G.A., Beling, P. & Rajaratnam, K. 2015Energy Efficient Homes and Mortgage Risk: Crossing the Chasm at Last? A Role for Credit Modeling? Environment Systems and Decisions. 35(1):157-168.
• De Jager, P. 2014Fair value accounting, fragile bank balance sheets and crisis: A model. Accounting, Organizations and Society. 39(2):97-116.
• Flint, E., Osche, E. & Polakow, D. 2014Estimating Long-term Volatility Parameters for Market-Consistent Models. South African Actuarial Journal. 14:19-72.
• Huang, C.-K., Chinhamu, K., Huang, C.-S. & Hammujuddy, M. J. 2014Generalized Hyperbolic Distributions and Value-at-Risk Estimation for the South African Mining Index. International Business & Economics Research Journal. 13(2):319-328.
• Huang, C.-S., Huang, C.-K. & Chinhamu, K. 2014Assessing the relative performance of heavy-tailed distributions: Empirical evidence from the Johannesburg Stock Exchange. Journal of Applied Business Research. 30(4):1263-1286.
• Ikpe, D., Mataramvura, S. & Becker, R. 2014Modelling Financial Information by conditioning. Communications on Stochastic Analysis. 8(1):99-110.
• Kassanjee R., McWalter T.A. & Welte A. 2014Defining Optimality of a Test for Recent Infection for HIV Incidence Surveillance. AIDS Research and Human Retroviruses. 30(1):45-49.
• Kienitz, J. 2014Interest Rate Derivatives Explained. Volume 1: Products and Markets. Palgrave McMillan.
• Kienitz, J. 2014Transforming Volatility – Multi Curve Cap and Swaption Volatilities. International Review of Applied Financial Issues and Economics. 5(1).
• Kruger, R. & Toerien, F. 2014The consistency of equity style anomalies on the JSE during a period of market crisis. African Finance Journal. 16(1):1-18.
• Mackinnon, S. & Kruger, R. 2014Factors Influencing Changes In Analyst Consensus Recommendations: Evidence From The Johannesburg Stock Exchange. Journal of Applied Business Research. 30(3):959-970
• Macrina, A. 2014Heat Kernel Models for Asset Pricing. International Journal of Theoretical & Applied Finance. 17(7):1-34.
• Macrina, A. & Parbhoo, P. A. 2014Randomised Mixture Models for Pricing Kernels. Asia-Pacific Financial Markets. 21:281-315.
• Noakes, M. & Rajaratnam, K. 2014Testing Market Efficiency on the Johannesburg Stock Exchange using the Overlapping Serial Test. Annals of Operations Research. DOI:10.1007/s10479-014-1751-y.
• Ole-Meiludie, E., Mashinini, S., Huang, C-S. & Rajaratnam, K. 2014 A Comparative Study of the Effects of a Market Crisis and a Recession on the Performance of Defensive Sectors. Journal of Applied Business Research. 30(5):1501-1512.
• Polakow, D., Taylor, D. & Mahomed, O. 2014Aggregational Gaussianity in the South African Equity Market. International Business & Economics Research Journal. 13(5):1092-1106.
• Taylor, D. 2014 Modelling South African Single-Stock Futures Option Volatility Smiles. Investment Analysts Journal. 79:57-66.
• Toerien, F., Rosenberg, D. & Kruger, R. 2014The asymmetry of gain-loss time horizons on the JSE. Studies in Economics and Econometrics. 38(1):65-74.
• Rajaratnam, M., Rajaratnam, B. & Rajaratnam, K. 2014A Novel Equity Valuation and Capital Allocation Model for use by Long-term Value-Investors. Journal of Banking & Finance. 49:483-494.
• Vasant, J., Irgolic, L., Kruger, R. & Rajaratnam, K. 2014A Comparison of Mean-Variance and Mean-Semi-variance Optimisation on the JSE. Journal of Applied Business Research. 30(6):1587-1596.
• Kruger, R. & Toerien, F. 2013The impact of index migrations on share prices: Evidence from the Johannesburg Stock Exchange. The Journal of Applied Business Research. 29(6):1861-1872.
• Kulikova, M. & Taylor, D. 2013Stochastic Volatility Models for Exchange Rates and Their Estimation Using Quasi-maximum-likelihood Methods: an Application to the South African Rand. Journal of Applied Statistics. 40(3):495-507.
• Mataramvura, S. 2013Contingent Claims in Incomplete Markets. Journal of Mathematical Finance 3:426-430
• Mayanja, F., Mataramvura, S. & Mahera, W.C. 2013A mathematical approach to a stocks portfolio selection: The case of Uganda Securities Exchange (USE). Journal of Mathematical Finance 3:487-501.
• Plimsoll, J., Saban, B., Spheris, A. & Rajaratnam, K. 2013The Day of The Week Effect: An Analysis of the Johannesburg Stock Exchange Top 40 Firms. International Business & Economics Research Journal. 12(3):319-330.
• Rubin, G., Overstreet, G., Beling, P. & Rajaratnam, K. 2013Dynamic Theory of Credit Unions. Annals of Operations Research. 205(1):29-53.
• Van Gysen, M., Huang, C. & Kruger, R. 2013The performance of linear versus non-linear models in forecasting returns on the Johannesburg Stock Exchange. International Business & Economics Research Journal. 12(8):985-994.
• Mataramvura, S. 2012The Malliavin derivative and application to pricing and hedging a European exchange option. Journal of Mathematical Finance. 2:280-290.