Eben Maré
University of Pretoria
59 Papers
153 Citations
Eben Maré is an academic researcher from University of Pretoria. The author has contributed to research in topics: Valuation of options & Implied volatility. The author has an hindex of 8, co-authored 51 publications. Previous affiliations of Eben Maré include University of Johannesburg.
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Papers
Examining the volatility skew in the South African equity market using risk-neutral historical distributions
M. De Araujo,Eben Maré +1 more
TL;DR: In this article, the authors examined the volatility skew in the South African equity market using risk-neutral historical distributions and found that, as the strike price of an equity option increases, its implied volatility tends to decrease.
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Homotopy perturbation transform method for pricing under pure diffusion models with affine coefficients
TL;DR: In this paper, a combination of Laplace transform and homotopy perturbation methods is considered as an algorithm to the exact solution of the nonlinear Riccati equations, which is applied to solving stiff diffusion model problems that include interest rates models as well as two and three factor stochastic volatility models.
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Extreme value theory – an application to the South African equity market
D.C. Wentzel,Eben Maré +1 more
TL;DR: The assumption of normal returns remains ubiquitous in much of modern finance as discussed by the authors, and many risk management metrics, such as Value at Risk (VaR), and performance metrics such as Sharpe ratios also assume normally distributed movements.
Solving the Generalized Regularized Long Wave Equation Using a Distributed Approximating Functional Method
Edson Pindza,Eben Maré +1 more
- 12 Aug 2014
TL;DR: In this paper, the number of solitons which are generated can be approximately determined using the Maxwellian initial condition, and compared with the results of the proposed method, analytical solutions, and numerical methods.
Long Term Forecasting and Hedging of the South African Yield Curve
South Africa,Michael Thomas,Eben Maré +2 more
- 01 Jan 2007
TL;DR: Thomas et al. as discussed by the authors examined some alternative approaches to dealing with long term interest rate risk, and examined some common approaches that are used to forecast the yield curve beyond 30 years.
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