Virginie Konlack

Name: Virginie Konlack
Department/School: Computational and Applied Mathematics
Country of Origin: Cameroon
Supervisor(s): Dr Diane Wilcox
Funding Source: Wits
Research Field: Financial mathematics
Research Topic: Our research is concerned with stock price models involving geometric Levy processes, Ito-Levy processes, and Markov-modulated Levy processes.We will derive the generalized pricing formula for equity swaps with constant and with variable notional principal when the international economy is driven by the Markov-Modulated exponential Levy process.  We are also concerned with some empirical work with the data from Johannesburg Stocks Exchange.
Start Date: 2011
End Date: