Tel: +2712 420-4142
Fax: +2712 420-3893
E-mail: [email protected]
Office: Mathematics Building 2-24

Position: Assoc Prof
Academic qualifications:  Lic(José Varona), MSc, DPhil(UZ)

Open Access version of articles

NRF Rating: C2

ORCID: 0000-0002-5410-939X - ORCID

Fields of interest: Mathematical Finance, Financial Engineering and Stochastic Analysis.
Research interests: Risk modelling, hedging, and pricing of equity, insurance, and energy derivatives, as well as the optimal portfolios and the application of stochastic analysis to finance in general.

Publications over the past five years:

Journal articles

Guambe C, Kufakunesu R and Mabitsela L. Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory. Mathematical Control and Related Fields 14(2)(2024), 747--768.

Wekwete TA, Kufakunesu R and van Zyl G. Application of deep reinforcement learning in asset liability management. Intelligent Systems with Applications 20(2023); 200286.

Kufakunesu R, Mhlanga F, Guambe C. On the sensitivity analysis of energy quanto options. Stochastic Analysis and Applications  40(6)(2022), 1104-1125

Mabitsela L, Guambe C and Kufakunesu R. A note on the representation of BSDE-based dynamic risk measures and dynamic capital allocations. Communication Statistics - Theory and Methods 51(6)(2022), 1791-1810

Guambe C, Kufakunesu R, van Zyl G, Beyers C. Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model. To appear in Japan Journal of Industrial and Applied Mathematics 39(1)(2022), 119-143

Guambe C, Kufakunesu R, van Zyl G, Beyers C  Optimal asset allocation for a DC plan with partial information under inflation and mortality risks. Communications in Statistics - Theory and Methods 50(9)(2021) 2048-2061

Guambe C, Mabitsela L, Kufakunesu R An Ergodic BSDE risk representation in a jump-diffusion framework. International Journal of Theoretical and Applied Finance 24(3)(2021) 2150015

Guambe C, Kufakunesu R Optimal investment-consumption and life insurance with capital contraints. Communications in Statistics – Theory and Methods 49(3)(2020) 648–669

Kufakunesu R On the multi-dimensional portfolio optimization with stochastic volatility. Quaestiones Mathematicae 41(1)(2018) 27–40

Guambe C, Kufakunesu R, Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach. Optimization 67(4)(2018) 457-473

Mabitsela L, Maré E, Kufakunesu R  Quantification of VaR: Note on VaR valuation in the South African equity market.  Journal of Risk and Financial Management, (8)(2015), 103-126

Kufakunesu R  Optimal investment models with stochastic volatility: The time inhomogeneous case.  Quaestiones Mathematicae, 38(2)(2015), 237-255

Kufakunesu R, Guambe C  A note on optimal investment-consumption-insurance in a Levy market.  Insurance Mathematics and Economics, 65(2015), 30–36

Ngugi AM, Maré E, Kufakunesu R Pricing variable annuity guarantees in South Africa under a variance-gamma model. SA Actuarial Journal, 15(2015), 131-70