Approximation Theory; Pricing of Contingent Claims; Financial Risk Analysis; Financial Modeling

• Mathematics

Selected Research Outputs

1. N. Umeorah, P. Mashele & M. Ehrhardt. 2021. Pricing basket default swaps using quasi-analytic techniques, Decisions in Economics and Finance, 44, pp. 241–267.
2. M.B. Seitshiro & H.P. Mashele. 2020. Valuation of initial margin using bootstrap method. Journal of Risk Finance, 21 (5), pp. 543-557.
3. N. Umeorah, P. Mashele & M. Ehrhardt. 2020. Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives. Journal of Credit Risk, 16 (3), pp. 1-29.
4. N. Umeorah, M. Ehrhardt & P. Mashele. 2020. Valuation of basket credit default swaps under stochastic default intensity models. Advances in Applied Mathematics and Mechanics, 12 (5), pp. 1301-1326.
5. 5. M.B. Seitshiro & H.P. Mashele. 2020. Quantification of model risk that is caused by model misspecification, Journal of Applied Statistics, DOI: 10.1080/02664763.2020.1849055
6. M. Seitshiro & H.P. Mashele. 2020. Assessment of model risk due to the use of an inappropriate parameter estimator. Cogent Economics & Finance, 8: 1710970. https://doi.org/10.1080/23322039.2019.1710970
7. N. Umeorah & H.P. Mashele. 2019. A Crank-Nicolson finite difference approach on the numerical estimation of rebate barrier option prices. Cogent Economics & Finance, 7: 1598835. https://doi.org/10.1080/23322039.2019.1598835
8. M.E. Sonono & H.P. Mashele. 2016. Estimation of bid-ask prices for options on LIBOR based instruments. Finance Research Letters, 19, pp. 33-41.
9. H.P. Mashele & J. Allison. 2015. Effective model risk management under all market conditions. Proceedings of the 9th International Business Conference 2015.
10. H.P. Mashele. 2015. Lp Boundedness of (C, 1) Means of the Generalized Series of the Second Kind for Levin-Lubinsky Weights. Computational Methods and Function Theory, 15: 709. https://doi.org/10.1007/s40315-015-0138-7
11. H.P. Mashele, S.E. Terblanche & J.H. Venter. 2013. Pairs trading on the Johannesburg Stock Exchange. Investment Analysts Journal, 78, pp. 13-26.
12. H.P. Mashele. 2010. The Generalized Functions of the second kind for Exponential Weights. Quaestiones Mathematicae, 33, pp. 477-484.
13. H.P. Mashele. 2010. Application of Mhaskar-Prestin Operators to the convergence of Orthonormal Expansions. Mathematische Nachrichten, 283, pp. 1155-1170.
14. H.P. Mashele. 2006. On Convergence of Orthonormal Expansions for Exponential Weights. Electronic Transactions on Numerical Analysis, 25, pp. 467-479.
15. H.P. Mashele. 2004. Extension of the Dirichlet-Jordan Convergence Criterion for Exponential Weights. Quaestiones Mathematicae, 27, pp. 321-337.
16. D.G. Kubayi & H.P. Mashele. 2003. On the difference of Orthonormal Polynomials. Quaestiones Mathematicae, 26, pp. 347-353.
17. H.P. Mashele. 2002. Mhaskar-Prestin Operators for Freud Weights. East Journal on Approximations, 8, pp. 501-510.
18. H.P. Mashele. 2002. The Mhaskar-Prestin Operators for General Exponential Weights. Rendiconti Del Circolo Matematico Di Palermo, Serie II, 68, pp. 671-681.
19. H.P. Mashele & D.S. Lubinsky. 2002. Lp Boundedness of (C, 1) Means of Orthonormal Expansions for General Exponential Weights. Journal of Computational Applied Mathematics, 145, pp. 387-405.

• Professional positions: Quantitative Analyst/Portfolio Manager (Jan. 2006 - Jun. 2008: Metropolitan Asset Managers Ltd); Model Developer (Jul. 2008 - Mar. 2010: Genesis Fund Management Ltd).
• Fellowships: Post-doctoral Research fellow (Jan. 2002 - Dec. 2002: Hungarian Academy of Sciences); African Institute of Mathematical Sciences Associated Research Fellow (From 2012) 
• Awards: NRF C2 Rating (From 2019)