|
![](/media/shared/Legacy/sitefiles/image/48/2058/mathspersonnel/lmabitsela1jpg.jpg) |
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
|
Get Social With Us
Download the UP Mobile App