| Products sectors/models | Information in Johannesburg Stock Market (JSM) | Information in Nigerian Stock Market (NSM) |
| Currency options, Cross-currency swaps, Forwards | South African Asset Prices, BS Derivative prices, South African Generalised Stylised Facts (GSFs) | Nigerian Underlying Asset Prices (NUAPs), (NIVSFs), Nigerian Generalise Stylised Facts (NGSFs) |
| Financial Services, Energy and Agricultural sectors | South African Implied Volatility Stylised Facts (IVSFs) (All known) | Nigerian Implied Volatility Stylised Facts (IVSFs)-To be simulated |
| Models | Steps in the modelling | Steps in the modelling |
| Black-Scholes, Ad-Hoc Black-Scholes and other derivative pricing models | 1) Test Black-Scholes alternative derivative pricing models on some South African data 2) Use known model assumptions and data behaviour (stylized facts) to obtain M1, M2, M3 models 3) Run suitable RMT analysis 4) If possible ascertain underpinning data distributions 5) Determine optimal models from M1, M2, M3 | 1) Repeat Random matrix theory analysis on similar NSM data as in JSM 2) Fit suitable distribution to NSM data (Generalized distribution, (GD and Generalized stylized facts, GS) 3) Compare 1 and 2 with JSM results and simulate likely Implied volatility surfaces (IVSFs) 4) Use insights from 1 - 3 above to simulate corresponding NSM data and M1, M2, M3 models from Nigeria. |