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…
Dr Dennis Ikpe
Dr Dennis Ikpe is currently a research associate at AIMS South Africa. He was a Presidential Scholar at University of Michigan, conducting research on information-based models for pricing credit risky assets and the use of Webwork in designing undergraduate mathematics curriculum…