Working Papers

"Lost in the Libor transition", with Andrea Macrina, Erik Schlögl and David Skovmand. (Current SSRN version)

"Regression-based estimation of heteroscedastic term structure models", with Mansa Aidoo and Joshua Hayes. (Current SSRN version)

Selected Presentations

Quantitative Methods in Finance Conference (Sydney), 2018. (Presentation)

Mathematics in Finance Conference (Skukuza), Seventh, 2023, Sixth, 2017 and Fifth, 2014. (Presentation)

World Congress of the Bachelier Finance Society (New York), Ninth, 2016. (Presentation)

PhD Thesis

"Term structure models with unspanned factors and unspanned stochastic volatility", University of Cape Town, 2018. (SSRN) (OpenUCT)

Contributions to AIFMRM's Financial Mathematics Team Challenge

"Credit risk in stock-Based lending", with Nicole Holder, Yi Xue and Qobolwakhe Dube, 2016. See part 5 of the 2016 report.

"A study on expected shortfall in a multi-currency environment", with Christopher Roberts, Gaukhar Shaimerdenova and Fergus Wegner, 2015. See part 1 of the 2015 report.

"Pricing kernels, multi-curve models and swaption pricing", with Michael Kateregga, Francesco Pasini and Thorsten von Boetticher, 2014. See part 3 of the 2014 report. (Winning team in 2014).

Master's Dissertation

"Recovery theorem: expounded and applied", University of Cape Town, 2014. (OpenUCT)