Department of Decision Sciences
College of Economic and Management Sciences |
School of Economic and Financial Sciences |
Department: Decision Sciences |
Acting Chair
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Tel: |
012 433 4723
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E-mail: |
mashehp@unisa.ac.za
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Fields of academic interests
Approximation Theory; Pricing of Contingent Claims; Financial Risk Analysis; Financial Modeling
Journal articles
Selected Research Outputs
- N. Umeorah, P. Mashele & M. Ehrhardt. 2021. Pricing basket default swaps using quasi-analytic techniques, Decisions in Economics and Finance, 44, pp. 241–267.
- M.B. Seitshiro & H.P. Mashele. 2020. Valuation of initial margin using bootstrap method. Journal of Risk Finance, 21 (5), pp. 543-557.
- 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.
- 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. 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
- 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
- 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
- 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.
- H.P. Mashele & J. Allison. 2015. Effective model risk management under all market conditions. Proceedings of the 9th International Business Conference 2015.
- 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
- H.P. Mashele, S.E. Terblanche & J.H. Venter. 2013. Pairs trading on the Johannesburg Stock Exchange. Investment Analysts Journal, 78, pp. 13-26.
- H.P. Mashele. 2010. The Generalized Functions of the second kind for Exponential Weights. Quaestiones Mathematicae, 33, pp. 477-484.
- H.P. Mashele. 2010. Application of Mhaskar-Prestin Operators to the convergence of Orthonormal Expansions. Mathematische Nachrichten, 283, pp. 1155-1170.
- H.P. Mashele. 2006. On Convergence of Orthonormal Expansions for Exponential Weights. Electronic Transactions on Numerical Analysis, 25, pp. 467-479.
- H.P. Mashele. 2004. Extension of the Dirichlet-Jordan Convergence Criterion for Exponential Weights. Quaestiones Mathematicae, 27, pp. 321-337.
- D.G. Kubayi & H.P. Mashele. 2003. On the difference of Orthonormal Polynomials. Quaestiones Mathematicae, 26, pp. 347-353.
- H.P. Mashele. 2002. Mhaskar-Prestin Operators for Freud Weights. East Journal on Approximations, 8, pp. 501-510.
- H.P. Mashele. 2002. The Mhaskar-Prestin Operators for General Exponential Weights. Rendiconti Del Circolo Matematico Di Palermo, Serie II, 68, pp. 671-681.
- 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, fellowships & awards
- 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)