The Summer School and Workshop will bring to South Africa several leading academic exponents of the fast-growing field of Mathematical Finance, and presents a unique opportunity to 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.
Summer School: Modern Trends in modelling financial instruments
18-20 February 2008
- Ekkehard Kopp, Emeritus Professor, University of Hull (UK), Extraordinary Professor, University of Stellenbosch and Research Consultant, AIMS (Convenor)
- Fritz Hahne, Director of AIMS
- Peter Ouwehand, University of Cape Town
- Diane Wilcox, University of Cape Town
- David Taylor University of the Witwatersrand
- Dilip Madan, University of Maryland, Morgan Stanley, Citigroup, Bloomberg and Caspian Capital
- Monique Jeanblanc, University of Evry, France
- Marek Rutkowski, University of New South Wales, Australia
- Eckhard Platen, University of Technology, Sydney, Australia
- John van der Hoek, University of Southern Australia, Adelaide
- Robert J Elliott, Haskayne School of Business, University of Calgary, Canada
- Tomasz Zastawniak, Director of Mathematical Finance Programmes, University of York, UK
- Alet Roux, University of York, UK
- Marek Capinski, AGH University of technology, Krakow, Poland
Valuation and Risk Management of Structured Products
Dilip Madan, University of Maryland, Morgan Stanley, Citigroup, Bloomberg and Caspian Capital). Dilip Madan will lecture on Structured Products. He is Professor of Finance at the Robert H. Smith School of Business University of Maryland, and holds a senior position with Morgan Stanley in New York. He has published prolifically on many aspects of asset pricing and modelling, and is one of the most highly regarded experts in the field. (cf. www.rhsmith.umd.edu/faculty/dmadan)
Modelling Credit Risk
Monique Jeanblanc, University of Evry, France, and Marek Rutkowski, University of New South Wales, Australia, abstract Monique Jeanblanc will be lecturing on Credit Risk (with Marek Rutkowski). She is Professor of Mathematics at the Université d’Evry Val d’Essonne. She has published many papers in mathematical finance in general, and credit risk modelling in particular (she is ranked most prolific author on Defaultrisk.com). She has also co-authored several books, including Financial Markets in Continuous Time (with Rose-Anne Dana), which is published in the Springer Finance series. (cf. www.maths.univ-evry.fr/pages_perso/jeanblanc/homepage.html).
Marek Rutkowski will be lecturing on Credit Risk (with Monique Jeanblanc). He is Professor in the School of Mathematics and Statistics at the University of New South Wales, and has published numerous papers on mathematical finance, including the hedging of derivative securities, interest rates modelling, and credit risk modelling, amongst others. He has also co-authored several books, including the Springer Finance tome Credit Risk: Modelling, Valuation and Hedging (with Tomasz Bielecki), and Martingale Methods in Financial Modelling (with Marek Musiela). (cf. profiles.unsw.edu.au/maths/mrutkowsk1)
A Benchmark Approach to Quantative Finance
Eckhard Platen, University of Technology, Sydney, Australia, abstract. Eckhard Platen will lecture on the Benchmark Portfolio. He is Professor of Quantitative Finance in the School of Finance and Economics and the Department of Mathematical Sciences, University of Technology, Sydney. Previously he was the Founding Head of the Centre for Financial Mathematics at the Institute of Advanced Studies at the Australian National University in Canberra and Head of the Sector Stochastics at the Academy of Sciences in Berlin. In addition to co-authoring two widely used books on the numerical solution of stochastic differential equations (with Peter Kloeden) he has also recently written A Benchmark Approach to Mathematical Finance (with David Heath), published in the Springer Finance series. (cf. datasearch.uts.edu.au/business/finance/staff/StaffDetails.cfm?UnitStaffId=90)
A New Paradigm in Asset Pricing
John van der Hoek, University of Southern Australia, Adelaide, abstract. John van der Hoek will lecture on Hidden Markov Models and a New Paradigm for Asset Pricing. He is Associate Professor in the School of Mathematics and Statistics at the University of Southern Australia, Adelaide. He has published papers on various aspects of mathematical finance, including capital allocation and the pricing of non-tradeable assets, and has also co-authored the book Binomial Models in Finance (with Robert J. Elliott), which is published in the Springer Finance series. (cf. 2005 website www.finance.adelaide.edu.au/staff/johnvanderhoek.html)
Programme
Practitioners, academics, PhD (and advanced MSc) students in mathematical finance.
Research Workshop
- Dilip Madan, University of Maryland, Morgan Stanley, Citigroup, Bloomberg and Caspian Capital
- Monique Jeanblanc, University of Evry, France
- Marek Rutkowski, University of New South Wales, Australia
- Eckhard Platen, University of Technology, Sydney, Australia
- Marek Capinski, AGH University of Technology, Krakow, Poland
- Tomasz Zastawniak, Director of Mathematical Finance Programmes, University of York, UK
- Alet Roux, University of York, UK
Plenary lectures will be scheduled for one hour each.
Thursday, 21 February, will be designated as a Practitioners Day when presentations will centre on current issues in South African markets. This session will be chaired by Professor Dilip Madan. Contributed papers will be of 30-40 minutes’ duration, to allow for discussion and comments. Abstracts will be posted as soon as they are received.
Venue & Registration
Venue: the African Institute for Mathematical Sciences, Muizenberg
Registration fees:
- Summer School – R2,000
- Workshop – R1,500
- Combined fee – R3,000
Fees will be waived, upon application, for bona-fide full-time students and academic staff at South African universities
The Workshop is now full. Applications were treated on a first come, first served basis, and numbers are limited to 50. If you wish to be placed on the waiting list in case of cancellations, please contact Gudrun Schirge at the address below.
Administration and logistics: gudrun@aims.ac.za.
Mathematical queries: kopp@aims.ac.za
Sponsors
This meeting is co-sponsored by ABSA Capital Markets, Brait SA, Cadiz, and Standard Bank Global Markets.
English