Alex Backwell

On 29 February 2024, I resigned from my full-time Associate Professor position with the African Institute of Financial Markets and Risk Management (AIFMRM - see our website), which is housed with Department of Finance and Tax at the University of Cape Town. I have been proudly associated with AIFMRM for many years, including my PhD (2014-2017) and post-doctoral tenure (2018-2019). I have left academia for the time being, but I remain deeply interested in quantitative finance; the purpose of this website is to exhibit my academic work.

Research

My academic research focussed on no-arbitrage interest-rate modelling. Most of my work addressed unspanned stochastic volatility, capital-structure modelling, and post-crisis topics including multiple tenor curves and interest-rate benchmark reform. My work tends to feature a mixture of theoretical and empirical or applied aspects. My research highlights include my two Journal of Banking & Finance publications (one of which came from my PhD work, and the other from a collaboration with my former student Josh Hayes) as well as my article in Mathematical Finance, where I collaborated with Professors Peter Ritchken and Tom McWalter. See the Published papers tab for these and other published academic articles. In the 2023/4 cycle, I obtained a Y1 rating from the South African NRF, which is the top category within the ratings for "promising young researchers".

Teaching

I was the convenor of the Master of Financial Engineering (MFE) programme at UCT, which is offered by AIFMRM, in association with the Department of Finance and Tax. The MFE replaced the MPhil specialising in Mathematical Finance, which ran from 2013-2022 (and which I convened from 2020 onward). I taught on both the MFE/MPhil and AIFMRM's MCom in Risk Management of Financial Markets, and also supervised research within AIFMRM. I previously taught in UCT's Actuarial Science Department. See the Teaching and Research supervision tabs for details. 

Book

I wrote a book that was published by Springer, arguably the most prominent publisher in academic finance. The intention of the book was to provide a self-contained and intuitive introduction to finance and financial derivatives in particular.

Links and Contact

See my profile on the AIFMRM website, on SSRN, and on Google Scholar. Contact: alex.backwell at uct.ac.za.