February 20, 2014

The 7th Summer School in Mathematical Finance

Held at AIMS from 20 to 22 February 2014.

This workshop 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.

Intended audience

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


Speaker 1

Daniel Bauer is an assistant professor of risk management and insurance in the Robinson College of Business at Georgia State University. He specializes in the development of new mathematical models for the valuation and risk management of insurance products and insurance-linked securities. Other interests include mathematical finance and financial econometrics

Daniel received his doctorate in Mathematics from Ulm University, from where he also holds a Diploma in Mathematics&Economics. Furthermore, he obtained an M.S. degree from San Diego State University where he studied Statistics as a Fulbright scholar. Daniel’s published work includes papers in the SIAM Journal on Financial Mathematics, the ASTIN Bulletin,Insurance: Mathematics and Economics, and the Journal of Risk and Insurance. He is currently an editor of the ASTIN Bulletin — The Journal of the International Actuarial Association.

Course Outline

Slide 1

Speaker 2

Professor Eckhard Platen holds the Chair in Quantitative Finance at the Univesity of Technology Sydney.

He initiated and has been chairing the leading annual international conference series in Quantitative Finance. He has a PhD in Mathematics from the Technical University in Dresden and obtained his Dr Sc from the Academy of Sciences in Berlin, where he was heading the Sector Stochastics at the Weierstrass Institute.

He was the Founding Head of the Centre for Financial Mathematics at the Institute of Advanced Studies at the Australian National University and is Adjunct Professor of this University. He is co-author of three books on simulation methods, a fourth book on his innovative benchmark approach, and a fifth book on functionals of multidimensional diffusions with applications to finance, all at Springer Verlag.

He has authored more than 170 papers in finance, insurance and applied mathematics and serves on the editorial boards of six international journals, including Mathematical Finance and Quantitative Finance, and a Springer book series. He is the incoming President of the Bachelier Finance Society the professional organization for Mathematical Finance and Quantitative Finance.

Course Outline


Speaker 3

Luca Capriotti is a Director at Credit Suisse Group, Investment Banking Division, where he works in the Quantitative Strategies Group.

Luca works in the New York city office where he is US head for Global Credit Products. He is currently focusing on modeling in the areas of Flow and Structured Credit, Risk Management of a Bank’s own credit, Contingent Convertibles pricing and Risk Management, Risk Weighted Assets reduction strategies and Counterparty Credit Risk Management.

Dr. Capriotti regularly gives seminars and courses worldwide, and serves as a referee for several scientific publications including Physical Review B, Physical Review Letters, Quantitative Finance, Finance and Stochastics, Algorithmic Finance, Wilmott Magazine, Journal of Computational Finance, and Risk Magazine.

Dr. Capriotti holds a M.S. cum laude in General Physics from University of Florence (1996), and an M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste (2000).

Course Outline



Organising Committee
  • Prof Ronald Becker, AIMS
  • Prof Barry Green, AIMS
  • Dr Raouf Ghomrasni, AIMS
  • Prof David Taylor, UCT
  • James Taylor, Standard Bank

African Institute for Mathematical Sciences, 6 Melrose Road, Muizenberg


Registration fees:

  • Practitioners – R2,500
  • Academics – R1,200
  • Students – R500

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. Please apply by registeringonline.

Registration, administration and logistics: Rene January workshops@aims.ac.za

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