TEACHING
2020 – present: Modern Portfolio Theory and Investment Analysis (FRM 344), Financial Risk Management (FRM 242), Financial Risk Management
242, Advanced Portfolio Theory Management (FRM 863), Financial Risk Management 314, Department of Statistics and Actuarial Science, University of Stellenbosch.
2019 – 2019: Mathematics for Information Technology, Foundations of Engineering Mathematics and Topics in Volatility Modelling, School of Mathematics and Applied Statistics, University of Wollongong Australia.
2016 – 2018: Quantitative Business Analysis and Derivative Securities, Finance Department, University of Technology Sydney Business School.
2015 – 2015: Risk Analysis and Financial Mathematics, Department of Mathematics, University of Namibia.
Students Supervision
PhD
Prateek Samuel Daniels (Core Supervisor) - University of Technology Sydney (UTS), Australia
Guy Konan (Main Supervisor) -Topic: Random Forest in Finance (in progress)
Nelson Kyakutwika (Core Supervisor) - Topic: Joint Modelling of VIX Derivatives (in progress)
Masters
Phuthehang Maphatsoe - Topic: Forestocasting Volatility in Emerging Markets
Anton Lafrass Heyneke (Core Supervisor) - Topic: Analysis to indicate the impact Hindsight Bias have on the outcome when forecasting of stock in the South African equity market
Piet Jansen van Rensburg - Topic: ESG Linked Derivatives
Michael Meyer - Topic: Meta Labelling Architecture and Position Size
Edela von Ahlften - Topic: Roll-Over -Risk in the South African Financial Market
Cara Steenkamp - Topic: Modern Portfolio Optimisation Under Regime Switching
Hons
Frances Maries and Frances Herholdt - Topic: The Role of Roll-Over-Risk in the Banking Sector
Anton Blignaut and Jean-Pierre Viljoen - Topic: Modeling Fine Wine in South Africa
Dylan Nel -Topic: Is the Volatility of the FTSE/JSE All Share Index Rough?
Reid Peattie and Tjaart van der Walt - Topic: Variance Reduction in Monte Carlo Option Pricing
Amani Pillay and Terri Harker -Topic: Local Regime Switching Models
Alessia Lederer and Kirsty Fitzhenry -Topic: Estimation of Default Risk in South African financial Market
Lineo Mokoaleli and Phuthehang Maphatsoe - Topic: Improving Realised Assest Class Volatility Estimates
Referee Reports
Mathematical Finance, Journal of Futures Markets, Quantitative Finance, Frontiers of Mathematical Finance, Pacific-Basin Finance Journal, Computational Economics, Financial Innovation, Finance Research Letters, New Mathematics and Natural Computation (NMNC), Risks,