ACQuFRR Members - Research Associates

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Mr Chun-Sung Huang


Senior Lecturer

Department of Finance and Tax
Faculty of Commerce
University of Cape Town




Areas of research interest:

  • Utility indifference pricing
  • Pricing in incomplete markets
  • Credit risk modelling
  • Risk Management
  • Time-series econometrics

Associate Professor Jörg Kienitz


Adjunct A/Professor

African Insititute of Financial Markets and Risk Management (AIFMRM)
Faculty of Commerce
University of Cape Town

Assistant Professor

Mathematics
Division of Applied Mathematics
Bergische Universität Wuppertal
Germany




Areas of research interest:

  • Numerical Methods in Finance
  • Computational Finance
  • Stochastic Volatility Models
  • xVA
  • Interest Rate Modelling
  • Lévy Processes in Finance

Dr Maria Kulikova


Research Fellow

CEMAT (Centro de Matemática e Aplicações)
Instituto Superior Técnico
Universidade Técnica de Lisboa
Portugal




Areas of research interest:

  • Theory of numerical methods for Kalman filtering with special emphasis to system identification and adaptive filtering (linear and nonlinear)
  • Application of adaptive filtering techniques to financial time-series model estimation

Dr Andrea Macrina


Adjunct A/Professor

African Insititute of Financial Markets and Risk Management (AIFMRM)
Faculty of Commerce
University of Cape Town

Senior Lecturer

Financial Mathematics
Department of Mathematics
Faculty of Mathematical and Physical Sciences
University College London
United Kingdom




Areas of research interest:

  • Asset pricing frameworks and risk management
  • Multi-curve interest rate modelling
  • Insurance pricing and stochastic reserving
  • Valuation of scarce resources, sustainable finance and insurance
  • Computerised trading, optimal execution with stochastic market impact
  • Information-based pricing and hedging, asymmetric information flows and networks
  • Portfolio management, dependence models and systemic risk

Mr Obeid Mahomed


Lecturer

African Insititute of Financial Markets and Risk Management (AIFMRM)
Faculty of Commerce
University of Cape Town




Areas of research interest:

  • General asset pricing, absolute and relative pricing models
  • General risk management and modelling market and credit risk
  • Counterparty credit risk, dependence structures, wrong-way risk, pricing and hedging
  • Fund management and stochastic portfolio theory
  • Stochastic filtering theory

Dr Sure Mataramvura


Senior Lecturer

Division of Actuarial Science
School of Management Studies
Faculty of Commerce
University of Cape Town




Areas of research interest:

  • Stochastic Calculus
  • Stochastic Control
  • Derivative pricing and hedging
  • Insurance Mathematics
  • Stochastic Differential Games
  • Optimal stopping
  • Risk measures and monetary utility

Dr Abhik Mukherjee


Senior Lecturer

African Insititute of Financial Markets and Risk Management (AIFMRM)
Faculty of Commerce
University of Cape Town




Areas of research interest:

  • Banking
  • Macroeconomics
  • Financial economics
  • Monetary policy
  • Corporate finance

Associate Professor Peter Ouwehand


A/Professor

African Insititute of Financial Markets and Risk Management (AIFMRM)
Faculty of Commerce
University of Cape Town




Areas of research interest:

  • Pricing and hedging of derivatives
  • Stochastic analysis
  • Model choice and model risk management
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