February 19, 2009

2nd Summer School in Mathematical Finance

19 to 21 February 2009

The AIMS Research Centre was launched in May 2008 with Mathematics in Finance as one of its three initial focus areas. Preceding the launch of the Research Centre a very successful summer school and research workshop in Mathematical Finance was held at AIMS from 18 to 23 February 2008.

This is the second Summer School at AIMS which will again bring several leading academic exponents of the fast-growing field of Mathematical Finance to South Africa. It presents a unique opportunity for local practitioners, academics and students to interact with international leaders in research on topics and modelling techniques current in the South African and international financial markets.

Organising committee
  • David Taylor University of the Witwatersrand
  • Fritz Hahne, Director of AIMS
  • Peter Ouwehand, Stellenbosch University
  • Ekkehard Kopp, Emeritus Professor, University of Hull (UK), Honorary Visiting Professor, University of York
Speaker 1

The Volatility Surface

Jim Gatheral

Jim Gatheral, Merrill Lynch, New York [abstractwww slidesmore slidescode, data (74M)] Jim Gatheral is Managing Director at Merrill Lynch, and also an adjunct professor at the Courant Institute of the Mathematical Sciences, New York, where he has co-taught popular classes in the prestigious M.Sc. Program of Mathematics in Finance. Until 2005 he headed the Equity Quantitative Analytics groups at Merrill Lynch, and he is an expert in the modeling of volatility and exotic options. His book, The Volatility Surface: A Practitioner’s Guide (Wiley 2006), is one of the standard references on that topic, and is widely regarded as an instant classic. He was one of the plenary speakers at the World Congress of the Bachelier Finance Society in 2008

Speaker 2

Stochastic Portfolio Theory: An Overview

Ioannis Karatzas

Ioannis Karatzas, Columbia University, New York [abstractwww] Ioannis Karatzas is the Eugene Higgins Professor of Applied Probability in the Department of Mathematics at the University of Columbia, New York. His research interests include stochastic optimization and control, stochastic analysis, and mathematical finance. In mathematical finance, he has authored numerous influential papers on a wide range of topics, e.g. the pricing of american options and optimal stopping, portfolio optimization and utility maximization, convex risk measures, and stochastic portfolio theory. With Steven Shreve, he has co-authored two widely-used advanced text books: Brownian Motion and Stochastic Calculus (Springer 1988), and Methods of Mathematical Finance (Springer 1998). He is regarded as one of the top academics in the field, and many of the (at least 18) Ph.D graduates that he has supervised have themselves become influential figures in academia and industry.

<a href=”https://aims.ac.za/2nd-summer-school-in-mathematical-finance/#”>Speaker 3</a>

Overview of Monte Carlo methods for American options

Tomasz Zastawniak

Tomasz Zastawniak, University of York, York) [abstractwwwslides] Tomasz Zastawniak is Professor at the University of York, where he holds the Chair of Financial Mathematics. In addition to mathematical finance, his research interests also include the application of stochastic analysis to mathematical physics and mathematical biology. In mathematical finance he has authored papers on various topics, including utility maximization and portfolio optimization with transaction costs, as well as the pricing, hedging and exercise of american options with transaction costs. He has also co-authored a number of books, including the two popular introductory texts Basic Stochastic Processes (with Zdzislaw Brzezniak, Springer 1999) and Mathematics for Finance: An Introduction to Financial Engineering (with Marek Capinski, Springer 2003).

Intended Audience

Practitioners, academics, PhD (and advanced MSc) students in mathematical finance.

Venue & Registration

Venue: African Institute for Mathematical Sciences, Muizenberg

Registration fees:

  • Practitioners – R2,000
  • Academics – R1,000
  • Students – R500 (see registration form)

Fees will be waived, upon application, for bona-fide full-time students at South African universities. Registration fees include lunches and refreshments during the duration of the summer school.

Applications will be treated on a first come, first served basis, and numbers are limited. To apply, download the registration form and email it the address below.

Registration, Administration and Logistics: gudrun@aims.ac.za.

Mathematical queries: David.Taylor@wits.ac.za


This meeting is co-sponsored by ABSA, Cadiz, Peregrine Derivatives and Standard Bank.

Absa Capital
Standard Bank