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Interdisciplinary Colloquium on Mathematics, Economics, Finance and Actuarial Science


Description:

The colloquium is an interdisciplinary meeting forum on mathematical models in economics, finance and insurance and their theoretical and computational analysis. Typical areas of interest include foundational issues in asset pricing, financial markets equilibrium, insurance models, portfolio management, quantitative risk management, intertemporal economics, uncertainty and information in finance models.

Researchers and students who work on development and application of mathematical and computational tools to the study of phenomena in this broadly defined area are invited to attend. Four meetings are planned per semester. 

Highlights

Game changer: The impact of Trump on South Africa (and the rest of the world) by Christo Luüs, Non-Executive Director / Economic Advisor | Third Circle Asset Management, Economist | Quantec Research, Managing Director | Ecoquant (Pty) Ltd 

Date: Wednesday 1 March 2017
Time: 15:00
Venue: Botany 2-23

 
Estimating Option-Implied Distributions in Illiquid Markets and Implementing the Ross Recovery Theorem by Emlyn Flint, PhD candidate in the Department of Actuarial Science

Date: Thursday 17 November 2016
Time: 15:00
Venue: Botany 2-23
 

Making financial sense of the future - Challenges from an African Banking perspective by Rolf van den Heever, Head: Capital and Balance Sheet Management, Barclays, Africa

Date: Wednesday, 25 May 2016
Time: 15:00
Venue: Botany 2-23
 

Bayesian learning with multiple priors and non-vanishing ambiguity by Prof Alexander Zimper Department of Economics, University of Pretoria

Date: Wednesday, 20 April 2016
Time: 15:00
Venue: Tukkiewerf 1-37

 
Stochastic claims reserving in short-term insurance contracts by Prof Patrick Weke, School of Mathematics, University of Nairobi

Date: Friday, 20 November 2015
Time: 11:00
Venue: Botany 2-23
 
Towards developing early warning systems - behavioural modelling from maritime piracy to banking crises by Dr Joel Dabrowski, Department of Insurance and Actuarial Science
 
Date: Wednesday, 26 August 2015
Time: 15:00
Venue: Botany 2-23

Schnorr random sequences by Prof Petrus Potgieter, Department of Decision Science, Unisa

Date: Wednesday, 1 July 2015
Time: 15:00
Venue: Botany 2-23

On optimal investment-consumption insurance with random parameters in a Levy Market by Dr Rodwell Kufakunesu, Department of Mathematics and Applied Mathematics, University of Pretoria

Date: Wednesday, 29 April 2015
Time: 15:00
Venue: Botany 2-23

“Black Swan” events – beyond the realm of expectations by Professor Andrzej Kijko, Natural Hazard Centre, Africa, University of Pretoria

Date: Wednesday, 25 February 2015
Time: 15:00
Venue: Botany 2-23

Monetary utility functions with convex level sets by Professor Freddy Delbaen, Department of Mathematics, ETH Zürich

Date: Wednesday, 19 November 2014
Time: 15:00
Venue: Botany 2-23

Path-dependent volatility: fundamental model or interpolation tool? Dr A J van Zyl, Department of Mathematics and Applied Mathematics, University of Pretoria

Date: Wednesday, 29 October 2014
Time: 15:00
Venue: Botany 1-5

Scorpions, dragons and dung-beetles by Prof Eben Mare, Department of Mathematics and Applied Mathematics, University of Pretoria

Date: Wednesday, 1 October
Time: 15h00
Venue: Botany 2-23

Do we need country-specific capital requirement formulas? by Professor Alexander Zimper (Department of Economics, University of Pretoria)

Date: Wednesday, 3 September 2014
Time: 15:00
Venue: Botany Building 2-23

Modelling systemic risk in banking ecosystems by Dr Conrad Beyers, Department of Insurance and Actuarial Science, University of Pretoria

Date: Wednesday, 30 July 2014
Time: 15:00
Venue: Botany Building 2-23

 

Interdisciplinary Colloquium: Department of Insurance and Actuarial Sciences & Department of Mathematics and Applied Mathematics

Date: Friday, 22 August
Venue: Botany Building 2-23, University of Pretoria

Programme:
11:00 - 12:00
Testing price pressure, information, feedback trading, and smoothing effects for energy exchange traded funds

Prof Chia-Lin Chang

(Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan)

12:00-12:15 Refreshment break

12:15 - 13:15 On univariate and multivariate models of volatility
Prof Michael McAleer

(Department of Quantitative Finance, National Tsing Hua University, Taiwan; Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam; Tinbergen Institute, The Netherlands; and Department of Quantitative Economics, Complutence University of Madrid)

13:15-13:30 Discussion

The talks will be based on the following papers:

Contact:

Dr Gusti van Zyl, Department of Mathematics and Applied Mathematics
Tel: (012) 420-2784 or E-mail: [email protected]           

Dr Conrad Beyers, Department of Insurance and Actuarial Science
Tel: (012) 420-4419 or E-mail: [email protected]

- Author Ronél Oosthuizen
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Last edited by Annel SmitEdit