Prof E (Eben) Maré

Tel: +27-12-420-2835
Fax: +2712 420-3893
E-mail: [email protected]
Office: Mathematics Building 1-48

Position: Associate Professor
Academic qualifications: MSc(Wits), PhD(UOFS)

Open Access version of articles

NRF rating: C3

Fields of interest: Numerical analysis; computational finance; quantitative risk management; pricing of derivatives

Research interests: Numerical analysis; computational finance; quantitative risk management; pricing of derivatives

Publications over the past five years:

Journal articles

Venter PJ, Maré E GARCH option pricing models in a South African equity context. ORION 36(1)(2020) 1–17

Venter PJ, Maré E, E Pindza Price discovery in the cryptocurrency option market: A univariate GARCH approach. Cogent Economics & Finance 8(2020) 1803524 1-9

Moutsinga CRB, Pindza E, Maré E A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models. Commun Nonlinear Sci Numer Simulat 84(2020) 1-16

Flint E, Maré E Regime-based tactical allocation for equity factors and balanced portfolios SAAJ 19(2019) 27–52

Taljaard BH, Maré E Considering the use of an equal-weighted index as a benchmark for South African equity investors SAAJ 19(2019) 53–70

Holdsworth C, Maré E  Currency management in the new economy: Some explanations for USD/ZAR movements.  The South African Treasurer: Special issue on Managing Treasury in the New Economy (TMI Special report), 2012, 12-15

Maré E, Holdsworth C  The importance of US real yields for relative equity performance.  The South African Treasurer: Special issue on Challenges in Treasury – an Outlook on Africa (TMI Special report), 2013, 21-22

Maré E, Du Preez P  A new method for Interpolating yield curve data, with applications to the South African market.  South African Journal for Economic and Management Science (SAJEMS NS), 16(4)(2013), 395-406

Pindza E, Maré E  Discrete singular convolution method for numerical solutions of fifth order Korteweg-De Vries equations.  Journal of Applied Mathematics and Physics, (1)(2013), 5-15

Nteumagné BF, Pindza E, Maré E  Applying the Barycentric Jacobi Spectral Method to price options with transaction costs in a fractional Black-Scholes framework.   Journal of Mathematical Finance, (4)(2014), 35-46

Pindza E, Maré E  Sinc collocation method for solving the Benjamin-Ono equation Journal of Computational Methods in Physics, (2014), ID 392962, 8 pages

Holdsworth C, Maré E  A note on a framework to assess the required equity risk premium using cumulative prospect theory.  Theoretical Economics Letters, (4)(2014), 89-90
 
Pindza E, Maré E  Solving the generalised regularised long wave equation using a distributed approximating functional method.  International Journal of Computational Mathematics, 2014 Article ID 178024, 12 pages

Maré E  Volatility – Ubiquitous, yet evasive.  The South African Treasurer: Special issue on Risk –Transforming Treasury (TMI Special report), 2014, 31-34

Khuzwayo B, Maré E  Aspects of volatility targeting for South African equity investors.  South African Journal for Economic and Management Sciences (SAJEMS NS), 17(5)(2014), 691-699

Mabitsela L, Maré E, Kufakunesu R  Quantification of VaR: Note on VaR valuation in the South African equity market.  Journal of Risk and Financial Management, (8)(2015), 103-126

Maré E, A Palindrome Mistake. To appear in The Southern African Treasure

E Maré Heisenberg’s Uncertainty Principle and Unintended Consequences in Finance. The Southern African Treasurer Special Issue: Treasury - the drivers of change (ACTSA in association with TMI) (2015), 4-6

Ngugi AM, Maré E, Kufakunesu R Pricing variable annuity guarantees in South Africa under a variance-gamma model. SA Actuarial Journal, 15(2015), 131-70

Maré E Safe spending rates for South African retirees. South African Journal of Science 112(2016), 1-4 Art.#a0138, 4 pages. http://dx.doi.org/10.17159/sajs.2016/a0138

Maré E, Mba JC, Pindza E Discrete singular convolution for the generalized variable-coefficient Korteweg-de Vries equation. Quaestiones Mathematicae 40(2)(2017) 225–244

Pindza E and Maré E Recent developments of discrete singular convolution methods for solving singular problems. To appear in Journal of Difference Equations and Applications

Moutsinga CRB, Pindza E and Maré E Homotopy perturbation transform method for pricing under pure diffusion models with affine coefficients. To appear in Journal of King Saud University - Science

Pindza E, Maré E, Mba JC, Moubandjo DV A Lagrange regularized kernel method for solving multi-dimensional time-fractional heat equations.  To appear in International Journal of Nonlinear Sciences and Numerical Simulation 

Pindza E and Maré E Discrete singular convolution mapping methods for solving singular boundary value and boundary layer problems. Eur. Phys. J. Plus 132 (2017), 141

De Jongh RPJ, Larney J, Maré E, Van Vuuren G, Verster T A proposed best practice model validation framework for banks.To appear in South African Journal of Economic and Management Sciences

Maré E and Flint E Fractional Black-Scholes option pricing, volatility calibration and implied Hurst exponents in a South African context. SAJEMS 20(1)(2017), 1-14

Youbi F, Pindza E, Mare E A Comparative Study of Spectral Methods for Valuing Financial Options. Applied Mathematics & Information Sciences An International Journal 11(3)(2017), 1-12

Flint E, Maré E Fractional Black–Scholes option pricing, volatility calibration and implied Hurst exponents in South African context. South African Journal of Economic and Management Sciences 20(1)(2017) 1-11

De Jongh PJ, Larney J, Maré E, van Vuuren GW, Verster T A proposed best practice model validation framework for banks. South African Journal of Economic and Management Sciences 20(1)(2017) 1-15

Maré E Volatility and the Skunk. ACTSA (2017) 21-23

Sanderson LB, Maré E, De Jongh DCJ Banking regulations: An examination of the failure of African Bank using Merton’s structural model. South African Journal of Science 113(7/8)(2017) 1-7 

Flint E, Maré E Estimating option-implied distributions in illiquid markets and implementing the Ross recovery theorem. South African Actuarial Journal 17(2017) 1-28

Maré E A note on equity returns for South African investors South African Journal of Science 114(7/8)(2018) 1-2

Pindza E, Youbi F, Mare E, Davison M Barycentric spectral domain decomposition methods for valuing a class of infinite activity levy models. To appear in Discrete and continuous dynamical system series S

Maré E Risk Homeostasis and the Hamster. The South African Treasurer (2018)4-6

Van Appel V, Maré E  The Ross Recovery Theorem with a Regularised Multivariate Markov Chain. ORION 34(2018)(2) 133-155

Maré E “Out of all the things I’ve lost, I miss my mind the most …” Mark Twain. The South African Treasurer Journal : Futureproofing Treasury (2019) 5-6

Moutsinga CRB, Pindza E, Mare E A robust spectral integral method for solving chaotic finance systems. Alexandria Engineering Journal 59(2020) 601–611

Van Appel V,  Maré E, The Recovery Theorem With Application to Risk Management. South African Statistical Journal 54(1)(2020) 65-91

Venter PJ, Maré E GARCH Generated Volatility Indices of Bitcoin and CRIX. Journal of Risk and Financial Management 13(2020) 121 1-15

Mare E VUCA Meets Covid-19 – Opportunity in crisis – Rethinking treasury. The South African Treasurer Journal (2020) 14-16

Maré E, Venter PJ To appear in ORION

Conference Proceedings

Maré E  Market risk management in the context of engineering asset management.  In J Amadi-Echendu J Mathew and C Hoohlo (editors), 9th WCEAM Research Papers, Volume 1 Proceedings of the 2014 World Congress on Engineering Asset Management (Pretoria, South Africa), Springer - Lecture notes in Mechanical Engineering, 2015, 3-10, ISBN: 978-3-319-15535-7, ISSN: 2195-4356

Published by Annel Smit

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