The 8th Summer School in Mathematical Finance is being held at AIMS from 19 to 21 February 2015.
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.
- Prof David Taylor, UCT
- James Taylor, Standard Bank
- Prof Barry Green, AIMS
- Dr Raouf Ghomrasni, AIMS
- Prof Ronald Becker, AIMS
Prof Ajay Subramanian
Dr Massimo Morini
- Talk 1: Understanding Model Risk
- Talk 2:The practice of Model Validation and Model Risk Management
- Talk 3: The 5 hidden risks in Modelling
- Talk 4: The evolution of interest rates from risk-free to multicurves
- Talk 5:The FVA debate in practice and new XVAs
Prof Peter Ritchkin
- Module 1 and 2: Inflation, real rates, expectations and risk premia
- Module 2 and 3: A Tutorial on Simple Structural Models
- Module 3 and 4: A Tutorial on Capital Structure Models
- Module 5: Current research on Inflation Models
Venue:
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. Registration is now closed.
Administration and logistics: Rene January workshops@aims.ac.za
Mathematical queries: Ronnie Becker ronnie@aims.ac.za
English