The 11th annual Summer School in Mathematical Finance will bring to South Africa several leading academic exponents of the fast-growing field of Mathematical Finance, and presents a week-long opportunity to local practitioners, academics and students to interact with international leaders in Mathematical Finance on topics and modelling techniques current in the South African and international financial markets.
Dates: 21 – 23 February 2018
Organising Committee:
- Prof David Taylor
- Prof Thomaas McWalter
- Prof Barry Green
Dr Roger Lord is Head of Quantitative Analytics at Cardano, a risk / investment manager for the buy-side. Prior to joining Cardano, Roger worked in various roles at Rabobank International, from model validation to the front office, where he developed pricing models for exotic interest rate derivatives.Roger studied applied mathematics at the Eindhoven University of Technology (cum laude) and econometrics at Tilburg University (cum laude). He wrote his PhD thesis in financial mathematics at Erasmus University Rotterdam. Roger has published articles about option pricing in many leading scientific journals, and regularly speaks at conferences on related topics.
Abstract – Monte Carlo and Fourier Inversion – techniques for pricing options
Prof Thomas McWalter and Ralph Rudd
Abstract – Quantization Techniques in Mathematical Finance
Dr Jörg Kienitz
The 10th annual Summer School in Mathematical Finance will bring to South Africa several leading academic exponents of the fast-growing field of Mathematical Finance, and presents a week-long opportunity to local practitioners, academics and students to interact with international leaders in Mathematical Finance on topics and modelling techniques current in the South African and international financial markets.
Dates:
20-24 February 2017
Intended audience
Practitioners, academics, PhD and Master’s students in mathematical finance.
International Speakers
Prof Erik Schlögl (UTS, Australia)
Dr Joerg Kienitz (UCT and Quaternion, Germany)
Prof Tom Hurd (McMaster University, Canada)
Industry Speakers
- Emlyn Flint
- Nimalin Moodley
- Greg Mollentz
- Roelof Sheppard
- Farzam Ehsani
- Werner Opperman
Registration
All applicants to do an Online Registration
Registration fees (includes daily lunches and refreshments)
Payment: do be done via Quicket
Practitioners – R3,000 Academics – R1,500 Registered Students – Free
Applications will be treated on a first come, first served basis, and numbers are limited. Preference will be given to students registered at South African universities.
Administration and logistics: Rene January workshops@aims.ac.za
Accommodation: please contact Clair @ Surfers Corner apartments
English