February 18, 2010

3rd Summer School in Mathematical Finance

18-20 February 2010

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 third 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 andinternational financial markets.

Organising Committee
  • Peter Ouwehand, Stellenbosch University
  • David Taylor, University of the Witwatersrand
  • Fritz Hahne, Director of AIMS
  • Raouf Ghomrasni, AIMS
  • Ronald Becker, AIMS
<a href=”https://aims.ac.za/3rd-summer-school-in-mathematical-finance/#”>Speaker 1</a>

Convex Duality Methods in Mathematical Finance


Marco Frittelli, University of Milan, [abstract] is Professor of Mathematical Finance at the University of Milano, having and has also held visiting professorships at a number of universities in the USA and Europe. He was plenary lecturer at the 5th Bachelier Congress (2008), and is a member of the Scientific Committee of the Bachelier Finance Society. He has also been on the Editorial Board of The Annals of Applied Probability. His research is focused on the application of stochastic analysis and convex analysis to mathematical finance, including utility maximization in incomplete markets and the theory of coherent/convex risk measures. He has supervised a number of Ph.D students in this field, and published extensively, with papers appearing in Mathematical Finance, Finance and Stochastics and the Journal of Banking and Finance amongst others.Prof. Frittelli lecture on the topic of Convex Duality Methods in Mathematical Finance. His upcoming book on the subject (written jointly with his former student Sara Biagini) is awaited with much anticipation. [slides1] [slides2] [slides3]

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

Market impact modeling, price manipulation, and optimal trade execution


Alexander Schied, University of Mannheim, [abstract] is currently Chair of Business Mathematics at Mannheim University, having previously held positions at TU Munich, Cornell, and TU Berlin. He was plenary speaker at the 33rd Conference on Stochastic Processes and their Applications. He has also been Scientific Director of the Deutsche Bank Quantitative Products Laboratory in Berlin, and is an Associate Editor for Finance and Stochastics and the newly-launched SIAM Journal of Financial Mathematics. His research is in the general area of applied probability and stochastic analysis with applications to mathematical finance, and has focused on topics such as coherent/convex risk measures, robust portfolio choice under model uncertainty, and optimization problems in the presence of liquidity risk. He has supervised a large number of students, and published in Finance and Stochastics and Quantitative Finance. With Hans Föllmer he is co-author of the highly regarded text Stochastic Finance: An Introduction in Discrete Time (De Gruyter 2002, 2nd ed. 2004).

<br>Speaker 3

Computational issues in derivatives pricing


Nick Webber, University of Warwick, [abstract] is Reader in Finance and Director of the Financial Options Research Centre at Warwick Business School, and previously Director of the Centre for Computational Finance at Cass Business School, City University. Prior to his academic career, Nick gained extensive experience in the industrial and commercial world. in operational research and computing. His research focuses mainly on interest rate modelling and computational finance, and he has taught related courses to practitioners and academics for many years. His publications have appeared in such journals as Quantitative Finance, Mathematical Finance, the Journal of Computational Finance and the Journal of Derivatives. He is the author of the book Interest Rate Modelling (with Jessica James, Wiley 2000), which ranks as one of the most comprehensive available on that topic, as well as of two up-coming books on computational finance in VBA and C++.

Intended Audience

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

Venue and Registration

Venue: African Institute for Mathematical Sciences, 6 Melrose Road, 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 to the address below.

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

Mathematical queries: raouf@aims.ac.za


This meeting is co-sponsored by Cadiz, Financial Chaos Theory, and Standard Bank.