Now showing items 1-10 of 13
Applications of Levy processes in finance.
The option pricing theory set forth by Black and Scholes assumes that the underlying asset can be modeled by Geometric Brownian motion, with the Brownian motion being the driving force of uncertainty. Recent empirical studies, ...
Stochastic volatility effects on defaultable bonds.
We study the eff ects of stochastic volatility of defaultable bonds using the first -passage structural approach. In this approach Black and Cox (1976) argued that default can happen at any time. This then led to the ...
Time series modelling with application to South African inflation data
The research is based on financial time series modelling with special application
Analysis of time-to-event data including frailty modeling.
There are several methods of analysing time-to-event data. These include nonparametric approaches such as Kaplan-Meier estimation and parametric approaches such as regression modeling. Parametric regression modeling ...
Spatial analysis and efficiency of systematic designs in intercropping experiments.
In studies involving intercropping plant populations, the main interest is to locate the position of the maximum response or to study the response pattern. Such studies normally require many plant population levels. Thus, ...
Nonlinear models for neural networks.
The most commonly used applications of hidden-layer feed forward neural networks are to fit curves to regression data or to provide a surface from which a classification rule can be found. From a statistical viewpoint, the ...
Longitudinal survey data analysis.
To investigate the effect of environmental pollution on the health of children in the Durban South Industrial Basin (DSIB) due to its proximity to industrial activities, 233 children from five primary schools were considered. ...
Modelling CD4+ count over time in HIV positive patients initiated on HAART in South Africa using linear mixed models.
HIV is among the highly infectious and pathogenic diseases with a high mortality rate. The spread of HIV is in uenced by several individual based epidemiological factors such as age, gender, mobility, sexual partner pro ...
Factors affecting the health status of the people of Lesotho.
Lesotho, like any other country of the world, is faced with the task of improving the
Estimating risk determinants of HIV and TB in South Africa.
Where HIV/AIDS has had its greatest adverse impact is on TB. People with TB that are infected with HIV are at increased risk of dying from TB than HIV. TB is the leading cause of death in HIV individuals in South Africa. ...