February 17, 2011

4th Summer School in Mathematical Finance

17 to 19 February 2011

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 fourth 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.

<a href=”https://aims.ac.za/4th-summer-school-in-mathematical-finance/#”>Organising Committee</a>
  • Peter Ouwehand, Stellenbosch University
  • David Taylor, University of the Witwatersrand
  • James Taylor, Standard Bank
  • Graeme West, University of Cape Town, Financial Modelling Agency
  • Ronald Becker, AIMS
  • Raouf Ghomrasni, AIMS
  • Barry Green, Director of AIMS
<a href=”https://aims.ac.za/4th-summer-school-in-mathematical-finance/#”>Speaker 1</a>

Professor Bruno Dupire: Functional Ito Calculus and Financial Applications

Bruno Dupire is the Head of Quantitative Research at Bloomberg LP in New York from 2004 and Adjunct Professor in the M.Sc Program in Mathematics of Finance at NYU. At Bloomberg, he develops pricing, risk management and arbitrage models. Prior to this, he has headed derivatives research teams at Societé Generale, Paribas and Nikko Financial Products, where he was a Managing Director[abstract].

He is best known for his work on volatility modelling and volatility derivatives, including the Local Volatility Model (1993), which is simplest extension of the Black-Merton-Scholes model to fit all option prices. His current interests include quantitative trading strategies and robust hedging.

Prof. Dupire has received many honours: He received a Risk Magazine “Lifetime Achievement Award” in 2008; a “Cutting edge research” Wilmott award in 2006; was voted the most important derivatives practitioner of the previous 5 years in the ICBI Global Derivatives industry survey in 2006; and was included in the Risk magazine “Hall of Fame” of the 50 most influential people in the history of derivatives in 2002.

He has also edited the book Monte Carlo: Methodologies and Applications for Pricing and Risk Management (Risk Books, 1998). He is a popular  speaker at academic and professional risk events.

Prof. Dupire holds a PhD in Numerical Analysis from PUC, Rio de Janeiro [slide1][slide2][slide3][paper].

<a href=”https://aims.ac.za/4th-summer-school-in-mathematical-finance/#”>Speaker 2</a>

r Jörg Kienitz: Stochastic Volatility and Levy Process based Models in Finance

Dr. Jörg Kienitz is head of Quantitative Analysis at Deutsche Postbank AG, [abstract]. He is primarily involved in the development and implementation of models for pricing of complex derivatives structures and asset allocation. He is a member of the teaching staff at the University of Oxford where he lectures in the part-time master course in quantitative finance. Furthermore, he is an invited speaker at Risk Europe 2009 and ICBI Global Derivatives 2011. Jörg has authored a number of papers in quantitative finance, and his book Monte Carlo Frameworks (Building customisable high performance C++ applications) was published by Wiley in 2009. Jörg also works as a consultant giving training courses on quantitative methods for finance in Frankfurt, Paris and London. Jörg holds a Ph.D. in stochastic analysis and probability theory [slide1][slide2][slide3].

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Professor William Shaw: Modelling and Optimizing Risk in non-Gaussian Financial Mathematics

Professor William Shaw holds the Chair in Mathematics and Computation of Risk at the University College London[abstract]. Prior to his current position, he was a member of the Financial Mathematics Research Group, King’s College, London. He received his doctorate in mathematics from the University of Oxford, and subsequently held post-doctoral positions at the University of Cambridge and MIT, and lecturing positions at Balliol and Catherine’s Colleges, Oxford.

His industry experience includes working as consultant applied and financial mathematician, as well as specialist in computational finance and equity derivatives modelling for Quantitative Analysis Group of Nomura International plc.

In finance, his research interests include: Fat-tailed distributions and their financial origins; The theory of quantiles for Monte Carlo simulation; Applications of complex analysis to finance and applied mathematics; Performance indicators for stock selection, including robust and genetic approaches; Optimization; Convertible bonds; Computational finance, especially symbolic methods. From time to time he also works on fluid mechanics, applied electromagnetics, complex variables and twistor models of string theory. He has written three books on applications of computer algebra, including Modelling Financial Derivatives with Mathematica. He is a Fellow of the Institute of Mathematics and its Applications and is co-editor in chief of Applied Mathematical Finance. He is also an Associate Editor of the International Journal of Theoretical and Applied Finance [slide1-6 mathematica files][slides1pdf][slide2pdf][slide3pdf][slide4pdf][slide5pdf][slide6pdf].

Venue & Registration

Venue: African Institute for Mathematical Sciences, 6 Melrose Road, Muizenberg

Registration fees:

  • Practitioners – R2,200
  • Academics – R1,100
  • 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: Liesl Jones workshop@aims.ac.za

Mathematical queries: Raouf Ghomrasni raouf@aims.ac.za


This meeting is co-sponsored by JSE, Standard Bank and Old Mutual.

Standard Bank