Tel: +2712 420-2646
Academic qualifications: Lic (Universidade Eduardo Mondlane, Mozambique) MSc & PhD (University of Pretoria)
Fields of interest: Stochastic Calculus, Malliavin Calculus, Mathematica finance and insurance
Research interests: Stochastic optimal control in finance, insurance and pension funds; Risk analysis; Computational finance; BSDEs.
Publications over the past five years
Guambe C, Kufakunesu R, A note on optimal investment-consumption-
Guambe C, Kufakunesu R, Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach. Optimization 67(4)(2018) 457-473
Guambe C, Kufakunesu R Optimal investment-consumption and life insurance with capital contraints. Communications in Statistics – Theory and Methods 49(3)(2020) 648–669
Guambe C, Kufakunesu R Optimal investment-consumption and life insurance with an embedded American option. To appear in Lithuanian Mathematical Journal
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
Mabitsela L, Kufakunesu R, Guambe C A note on the representation of BSDE-based dynamic risk measures and dynamic capital allocations. To appear in Communication Statistics - Theory and Methods
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, 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
Kufakunesu R, Mhlanga F, Guambe C On the sensitivity analysis of energy quanto options. To appear in Stochastic Analysis and Applications
Mhlanga F, Mwareya N, Chikodza E, Guambe C, Galane L Stochastic Differential Game Strategies in the Presence of Reinsurance and Dividend Payout. To appear in Journal of Industrial and Management Optimization.
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