February 16, 2012

5th Summer School in Mathematical Finance

This is the 5th Summer School in Mathematical Finance to be held at AIMS and it will once 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.

Mathematical modelling in finance is one of the focus areas of the AIMS Research Centre which is hosting the Summer School.


This meeting is sponsored by

Organising Committee
  • Ronald Becker, AIMS
  • Barry Green, Director of AIMS
  • Raouf Ghomrasni, AIMS 
  • David Taylor, University of the Witwatersrand
  • James Taylor, Standard Bank
Speaker 1

Prof. Matheus Grasselli: Agent-based models and banking network

Prof. Matheus Grasselli earned an undergraduate degree in Physics from the University of Sao Paulo in 1997, and a Ph.D. in Mathematics from King’s College London in 2002, for his thesis on Quantum and Classical Information Geometry under the supervision of Raymond Streater. After a postdoctoral fellowship, he was appointed Sharcnet Chair in Financial Mathematics at McMaster University in 2003, where he is currently an Associate Professor and co-director of PhiMac, the Financial Mathematics Laboratory.

Prof. Grasselli has published research papers on information geometry, statistical physics, and numerous aspects of quantitative finance, including interest rate theory, optimal portfolio, real options and executive compensation, as well as an undergraduate textbook on numerical methods. His consulting activities include projects with CIBC, Petrobras, EDF, and Bovespa.

Prof. Grasselli is a regular speaker in both academic and industrial conferences around the world, and was the lead organizer of the Thematic Program on Quantitative Finance: Foundations and Applications, at the Fields Institute in 2010. Starting in 2011, he will serve as the first managing editor for the newly created book series Springer Briefs on Quantitative Finance.

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Speaker 2

Dr Andrea Macrina: Utility Theory and Functions 

Dr. Andrea Macrina holds a PhD in Mathematics from King’s College, University of London, and an MSc in Physics from the University of Bern. Since 2007, he has been a Lecturer in Financial Mathematics in the Department of Mathematics at King’s College London, has held a one-year Visiting Research Associate Professorship at the Institute of Economic Research, Kyoto University, and a six-month research fellowship at ETH Zurich.

Dr. Macrina is one of the principle developers of information-based asset pricing, which is a novel and flexible stochastic framework for the pricing of a variety of asset classes including credit, fixed-income, equity, and insurance . His current research in Financial and Insurance Mathematics comprises interest-rate modelling and the pricing of inflation-linked securities; conditional risk measures and the modelling of market filtrations; the development of a probabilistic approach to asymmetric information in networks; the pricing and hedging of greenhouse-gas-emission permits; insurance claims reserving and the hedging of longevity risk.

Dr. Macrina is a frequent speaker at seminars and conferences worldwide where he presents his research findings to academics and industry professionals alike. At present, he supervises two international PhD students within partnerships with the Humboldt University of Berlin, and the University of the Witwatersrand, Johannesburg. Dr Macrina is a member of the London Mathematical Society, the American Mathematical Society, the Bernoulli Society for Mathematical Statistics and Probability, and the Bachelier Finance Society. Dr. Macrina is fluent in Italian, German, French, and English.    

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Speaker 3

Prof. Cornelis Oosterlee: Efficient Computation and hybrid modelling in finance and insurance

Prof. Cornelis Oosterlee is a full professor in Applied Mathematics at the Delft University of Technology, the Netherlands, and he also works as a group leader at the CWI, Centre for Mathematics and Computer Science in Amsterdam. His main field of research is Computational Finance, where he has intensive co-operations with the Dutch financial industry.

Together with his PhD student Fang, Professor Oosterlee developed the COS method for efficient Fourier pricing of financial derivatives. His recent work on hybrid Heston models resulted in the top-download article in the SIAM Journal on Financial Mathematics in 2011.

  • Prof. Oosterlee’s research interests in numerical analysis include robust and efficient solution methods, Fourier methods, multigrid methods and high performance computing. He is a co-author of a book called “Multigrid” (Academic Press, 2001), and an associate editor for the Journal of Computational Finance.

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  • See the programme for detailed times.

Intended audience

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

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: Rene January workshops@aims.ac.za

Mathematical queries: Ronnie Becker ronnie@aims.ac.za