Hatfield Campus
Tel: +2712 420  2739
Fax: +2712 420 3893
Building: Mathematics 2-32
E-mail: [email protected]

Position: Lecturer
Academic qualifications: BSc(Hons); MSc(Univ of Pretoria); PhD(Univ of Pretoria)

Research interest: Risk management, Capital Allocations, Optimal asset allocations and Backward Stochastic differential equations (utilise tools from Stochastic Calculus, Optimal Stochastic Control, Malliavin Calculus, Financial Mathematics and Financial Engineering)

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. To appear in Mathematical Control and Related Fields; http://dx.doi.org/10.3934/mcrf.2023023

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, 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

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