College of Science, Engineering & Technology
http://hdl.handle.net/10500/128
2014-04-18T11:06:49ZPricing European and American bond options under the Hull-White extended Vasicek Model
http://hdl.handle.net/10500/13346
Pricing European and American bond options under the Hull-White extended Vasicek Model
Mpanda, Marc Mukendi
In this dissertation, we consider the Hull-White term structure problem with the boundary value condition given as the payoff of a European bond option. We restrict ourselves to the case where the parameters of the Hull-White model are strictly positive constants and from the risk neutral valuation formula, we first derive simple closedâ€“form expression for pricing European bond option in the Hull-White extended Vasicek model framework. As the European option can be exercised only on the maturity date, we then examine the case of early exercise opportunity commonly called American option. With the analytic representation of American bond option being very hard to handle, we are forced to resort to numerical experiments. To do it excellently, we transform the Hull-White term structure equation into the diffusion equation and we first solve it through implicit, explicit and Crank-Nicolson (CN) difference methods. As these standard finite difference methods (FDMs) require truncation of the domain from infinite to finite one, which may deteriorate the computational efficiency for American bond option, we try to build a CN method over an unbounded domain. We introduce an exact artificial boundary condition in the pricing boundary value problem to reduce the original to an initial boundary problem. Then, the CN method is used to solve the reduced problem. We compare our performance with standard FDMs and the results through illustration show that our method is more efficient and accurate than standard FDMs when we price American bond option.
2013-01-01T00:00:00ZConcerning ideals of pointfree function rings
http://hdl.handle.net/10500/13342
Concerning ideals of pointfree function rings
Ighedo, Oghenetega
We study ideals of pointfree function rings. In particular, we study the lattices of z-ideals
and d-ideals of the ring RL of continuous real-valued functions on a completely regular
frame L. We show that the lattice of z-ideals is a coherently normal Yosida frame; and
the lattice of d-ideals is a coherently normal frame. The lattice of z-ideals is demonstrated
to be
atly projectable if and only if the ring RL is feebly Baer. On the other hand, the
frame of d-ideals is projectable precisely when the frame is cozero-complemented.
These ideals give rise to two functors as follows: Sending a frame to the lattice of
these ideals is a functorial assignment. We construct a natural transformation between the
functors that arise from these assignments. We show that, for a certain collection of frame
maps, the functor associated with z-ideals preserves and re
ects the property of having a
left adjoint.
A ring is called a UMP-ring if every maximal ideal in it is the union of the minimal
prime ideals it contains. In the penultimate chapter we give several characterisations for
the ring RL to be a UMP-ring. We observe, in passing, that if a UMP ring is a Q-algebra,
then each of its ideals when viewed as a ring in its own right is a UMP-ring. An example
is provided to show that the converse fails.
Finally, piggybacking on results in classical rings of continuous functions, we show that,
exactly as in C(X), nth roots exist in RL. This is a consequence of an earlier proposition
that every reduced f-ring with bounded inversion is the ring of fractions of its bounded
part relative to those elements in the bounded part which are units in the bigger ring. We
close with a result showing that the frame of open sets of the structure space of RL is isomorphic to L.
2013-11-01T00:00:00ZGuidelines for the usability evaluation of a BI application within a coal mining organization
http://hdl.handle.net/10500/13329
Guidelines for the usability evaluation of a BI application within a coal mining organization
Jooste, Chrisna
Business Intelligence (BI) applications are consulted by their users on a daily basis. BI information obtained assist users to make business decisions and allow for a deeper understanding of the business and its driving forces. In a mining environment companies need to derive maximum benefit from BI applications, therefore these applications need to be used optimally. Optimal use depends on various factors including the usability of the product. The documented lack of usability evaluation guidelines provides the rationale for this study. The purpose is to investigate the usability evaluation of BI applications in the context of a coal mining organization. The research is guided by the question: What guidelines should be used to evaluate the usability of BI applications. The research design included the identification of BI usability issues based on the observation of BI users at the coal mining organization. The usability criteria extracted from the usability issues were compared and then merged with general usability criteria from literature to form an initial set of BI usability evaluation criteria. These criteria were used as the basis for a heuristic evaluation of the BI application used at the coal mining organization. The same application was also evaluated using the Software Usability Measurement Inventory (SUMI) standardised questionnaire. The results from the two evaluations were triangulated to provide a refined set of criteria. The main contribution of the study is the heuristic evaluation guidelines for BI applications (based on these criteria). These guidelines are grouped in the following functional areas: visibility, flexibility, cognition, application behaviour, error control and help, affect and BI elements.
2012-11-01T00:00:00ZProject portfolio management : a model for improved decision making
http://hdl.handle.net/10500/13308
Project portfolio management : a model for improved decision making
Enoch, Clive Nathanael
The recent global financial crisis, regulatory and compliance requirements placed on organisations, and the need for scientific research in the project portfolio management discipline were factors that motivated this research. The interest and contribution to the body of knowledge in project portfolio management has been growing significantly in recent years, however, there still appears to be a misalignment between literature and practice. A particular area of concern is the decision-making, during the management of the portfolio, regarding which projects to accelerate, suspend, or terminate. A lack of determining the individual and cumulative contribution of projects to strategic objectives leads to poorly informed decisions that negate the positive effect that project portfolio management could have in an organisation. The focus of this research is, therefore, aimed at providing a mechanism to determine the individual and cumulative contribution of projects to strategic objectives so that the right decisions can be made regarding those projects.
This thesis begins with providing a context for project portfolio management by confirming a definition and providing a theoretical background through related theories. An investigation into the practice of project portfolio management then provides insight into the alignment between literature and practice and confirms the problem that needed to be addressed. A conceptual model provides a solution to the problem of determining the individual and cumulative contribution of projects to strategic objectives. The researcher illustrates how the model can be extended before verifying and validating the conceptual model.
Having the ability to determine the contributions of projects to strategic objectives affords decision makers the opportunity to conduct what-if scenarios, enabled through the use of dashboards as a visualization technique, in order to test the impact of their decisions before committing them. This ensures that the right decisions regarding the project portfolio are made and that the maximum benefit regarding the strategic objectives is achieved. This research provides the mechanism to enable better-informed decision- making regarding the project portfolio.
2013-06-01T00:00:00Z