PhD Supervision
2023-early 2024
Siphokazi Hlalukana (AIFMRM PhD student), working on applied capital-structure modelling. I co-supervised with Prof Tom McWalter.
2021-early 2024
Mansa Aidoo (AIFMRM Lecturer), working on term structure modelling, particularly quasi maximum likelihood and regression-based approaches to model estimation.
Supervision at AIFMRM's Financial Mathematics Team Challenge
"Covered interest parity arbitrage" by Justin Fouché, Sandiswa Dlamini, Tebogo Mampuru and Danae Pavlou. See part 1 of the 2022 report.
"On Level Dependence of Volatility and the CEV Market Model" by Valentin Courgeau, Zezhun Chen, Tino Muchabaiwa and Alan Yeung. See part 2 of the 2019 report. (Winning team in 2019).
MPhil Dissertation Supervision
(These dissertations fulfil the requirements of the UCT course FTX5052W).
(Where possible, I have provided a link to the dissertation).
"Covered Interest Parity and XVAs" by Danae Pavlou.
"Volatility level dependence in jumping short-rate models" by Nigel Chitambo.
"Covered interest parity arbitrage" by Sandiswa Dlamini.
"Assessing funding valuation adjustments in covered interest arbitrage trades using CDS-implied survival probabilities" by Justin Fouché.
"Does default risk rule out covered interest arbitrage?" by Tebogo Mampuru.
"A study on the effect of dilutions and buybacks on the pricing of equity and stock based claims using a finite difference mesh" by Matthew Boynton. (OpenUCT)
"The effects of dilutions and payout policy on equity- and stock-linked call options on a firm with leverage" by Nicola Brill. (OpenUCT)
"Implementing short-rate models with jumps at deterministic times" by Darvesh Shibduth. (OpenUCT)
"An introduction to interest-rate jumps at deterministic times" by Kirk Bastick. (OpenUCT)
"Account for roll-over risk in the pricing of vanilla caps and floors" by Sizwe Vidima. (OpenUCT)
"Credit default swaps in a roll-over risk framework" by Nicholas Petersen. (OpenUCT)
"An application of short rate modelling involving roll-over risk to derivative pricing" by Thomas Montgomery. (OpenUCT)
"Interest-rate option pricing accounting for jumps at deterministic times" by Timothy Allman. (OpenUCT)
"Hedging volatility: different perspectives compared" by Richard Ogg. (OpenUCT)
"Calibrating term structure models to an initial yield curve" by Matthew Sylvester. (OpenUCT)
"The lifted Heston stochastic volatility model" by Ryan Broodryk (co-supervised). (OpenUCT)
"Pricing with bivariate unspanned stochastic volatility models" by Joshua Wort. (OpenUCT)
"Level dependence in volatility in linear-rational term structure models" by Kalind Ramnarayan. (OpenUCT)
"Implementation of bivariate unspanned stochastic volatility models" by Cian Cullinan. (OpenUCT)
"Linear-rational term structure models with flexible level-dependent volatility" by Adrian Schwellnus. (OpenUCT)
"The credit risk in stock-based loans" by Febin Korula (co-supervised). (OpenUCT)
"Ex-ante evaluation of investment performance fees using spread options" by Tinashe Dube (co-supervised). (OpenUCT)
"Kalman filtering yield curve data: measurement error covariance specification" by Cameron Hutchison.
"Hedging performance of interest-rate models" by Graham Ziervogel. (OpenUCT)
"Robustness of bond portfolio optimisation" by Divanisha Pillay. (OpenUCT)