The 11th annual Summer School in Mathematical Finance will bring to South Africa several leading academic exponents of the fast-growing field of Mathematical Finance, and presents a week-long opportunity to local practitioners, academics and students to interact with international leaders in Mathematical Finance on topics and modelling techniques current in the South African and international financial markets.

Dates: 21 - 23 February 2018

Organising Committee:

  • Prof David Taylor
  • Prof Thomaas McWalter
  • Prof Barry Green


Dr. Roger Lord is Head of Quantitative Analytics at Cardano, a risk / investment manager for the buy-side. Prior to joining Cardano, Roger worked in various roles at Rabobank International, from model validation to the front office, where he developed pricing models for exotic interest rate derivatives.Roger studied applied mathematics at the Eindhoven University of Technology (cum laude) and econometrics at Tilburg University (cum laude). He wrote his PhD thesis in financial mathematics at Erasmus University Rotterdam. Roger has published articles about option pricing in many leading scientific journals, and regularly speaks at conferences on related topics.

Abstract - Monte Carlo and Fourier Inversion – techniques for pricing options

Prof Thomas McWalter and Ralph Rudd

Abstract - Quantization Techniques in Mathematical Finance

Dr Jörg Kienitz


Accommodation: Delegates can book directly with Clair at  Surfers Corner apartments. Please use the reference: AIMS/SS2018