The following papers are submitted/under revision - keeping fingers crossed!
M Alfeus, J Harvey, P Maphatsoe (2023). Improving Realised Volatility Forecast for Emerging Markets
M Alfeus (2023). Roll-Over Risk: New Evidence from an Emerging Market
The following are publications in peer reviewed journals in anti-chronological order:
R Peens, M Alfeus. SA Fine Wine enhanced Portfolio Growth, Personal Finance, 2023 (515), 15-16.
M Alfeus, C Sklibosios Nikitopoulos, L Overbeck (2023). Dynamic Roughness in the Term Structure of Oil Markets Volatility, Quantitative Finance
M Alfeus (2023). Navigating the JIBAR Transition: Progress, Impacts, Readiness, and Analytical Insights, South African Journal of Science (Forthcoming)
M Alfeus, F Kirsty, A Lederer (2023) Stochastic Default Risk Estimation: Evidence from the South African Financial Market, Computational Economics (2023)
M Alfeus, J Collins (2023) A novel stochastic modeling framework for coal production and logistics through options pricing analysis, Financial Innovation 9 (1), 1-19
M Meyer, JF Joubert, M Alfeus, (2022) Meta-Labeling Architecture The Journal of Financial Data Science 4 (4), 10-24
M. Alfeus, X.-J., He, and S-P, Zhu, (2022). An empirical analysis of option pricing with short sell bans. International Journal of Theoretical and Applied Finance 25: 2250012. [Google Scholar] [CrossRef]
M. Alfeus, X.-J. He, and S.-P. Zhu, (2020). Regularization effect on model calibration. Journal of Risk, 24(3).
M. Alfeus, and C. Nikitopoulos, (2022), ‘Forecasting volatility in commodity markets with longmemory models’, Journal of Commodity Markets 28, 100248. URL: https://doi.org/10.1016/j.jcomm.2022.100248.
M. Alfeus and S. Kannan, “Pricing Exotic Derivatives for Cryptocurrency Assets—A Monte Carlo Perspective,” J. Math. Financ., vol. 11, no. 04, pp. 597–619, 2021, doi: 10.4236/jmf.2021.114033.
M. Alfeus, M. Grasselli & E. Schlögl, (2020). A consistent stochastic model of the term structure of interest rates for multiple tenors. Journal of Economic Dynamics and Control 114, 103861.
M Alfeus, E. Schlogl (2019). On Spread Option Pricing Using Two-Dimensional Fourier Transform. International Journal of Theoretical and Applied Finance, volume 22 , issue 5
M Alfeus, L Overbeck , E Schlögl (2019). Regime switchin rough Heston model. Journal of Futures Markets , volume 39 , issue 5 , p. 538 - 552