Research in this field focuses on topics such as financial applications of Levy Processes, American options, dual curve pricing optimal portfolio selection with transaction costs and move-based hedging strategies. For the last eight years AIMS has hosted a Summer school in Mathematical Finance and the AIMS Master’s in Mathematical Sciences includes popular review courses in this field.
Research Master’s Student
Supervisor: Ronnie Becker
Prof. Ronnie Becker, Senior Resident Researcher
Prof. Ronnie Becker is a Senior Resident Researcher at AIMS South Africa and an Emeritus Professor at UCT. Undergraduate work was done at UCT partly under D B Sears and he received a PhD under Norman Levinson at MIT. From 1964 until retirement he was based at UCT, continuing to work thereafter at UCT and AIMS…