Department van Wiskundige Wetenskappe


Mathematical Finance

This is an active, comparatively young area of research attracting many students who typically find excellent jobs both in the private sector or universities on completion of a MSc or PhD, respectively. This exciting new area at Stellenbosch is being promoted with joint seminar and research possibilities at AIMS, which has strong international, regional and African involvement. Broadly, research at Stellenbosch is focused on the theory and applications of stochastic finance to asset pricing, portfolio optimization and risk management. There are already a number of postgraduate students who are investigating topics such as:

  • Modeling of dependence for pricing multi-asset options under exponential Levy dynamics
  • Efficient methods for pricing Asian options
  • Monte Carlo methods for pricing American– and game options under exponential Levy dynamics
  • Optimal stopping rules for american– and game options under differential information.

For more information, please contact Dr Peter Ouwehand.