Mathematical Finance

It is well-known that since the path-breaking research by Black, Scholes and Merton in the early 1970s (later rewarded with Nobel prizes), financial markets have grown worldwide at an astonishing rate, so that the volume of trade in financial derivatives now far outstrips trading volumes in the underlying asset markets, and greatly increasing trading liquidity. The newer financial instruments are underpinned by sophisticated mathematical techniques, using partial differential equations and, especially, the modern theory of stochastic processes. While South African market institutions are active in this research and provide high-level employment and research opportunities for a significant number of graduates in the mathematical sciences, cutting edge research is still largely confined to first-world universities and financial institutions.

Since its inception, the AIMS academic programme has included a popular module on Mathematical Finance. Presenters have included Ekkehard Kopp, Bernt Oksendal (Oslo) and Alet Roux (Stellenbosch and York), Tomasz Zastawniak and Maciej Capinski (York and Krakow) both of whom visited AIMS for extended periods in 2008 and AIMS researchers Raouf Ghomrasni and Ronnie Becker.

The first Summer School and Research Workshop with international experts presenting a series of lectures was held in February 2008. The Summer School has become an annual event attracting local practitioners, academics and students.

Events in Mathematical Finance