UNIVERSITY OF THE WITWATERSRAND, JOHANNESBURG

Conferences, Workshops & Seminars


Wits AMF Workshop
Monday the 15th and Tuesday the 16th March, 2010

"Problems we have faced, and how we solved them!"

This short, local workshop aims to gather together as many South African Financial Mathematics students, practitioners and academics as possible, in order to discuss a number of recent, practical issues that have been faced and (perhaps) solved. In doing so, we hope to generate an understanding of the current state of practice in South African Financial Engineering and to facilitate contructive conversation around the best methods to solve some of the issues facing us.

The following have confirmed their willingness to present:


Tim Gebbie, QT Capital Management Biography Abstract
Graeme West, Financial Modelling Agency Biography Abstract
James Taylor, Standard Bank CIB Biography Abstract
Carolus Reinecke, ABSA Capital Biography Abstract
Eben Mare, StanLib Asset Management Biography Abstract
Antonie Kotze, Financial Chaos Theory Biography Abstract
Glenn Brickhill, Rand Merchant Bank Biography Abstract

Monday the 15th of March

08:30 to 09:00

Registration outside SH5, Senate House, Wits University

09:00 to 10:30

Tim Gebbie ? ?Building a portfolio.?

10:30 to 11:00

Tea

11:00 to 12:30

Antonie Kotze ? ?Calculating the initial and spread margin

requirements for futures and options traded on Safex and YieldX.?

12:30 to 13:30

Lunch

14:00 to 15:30

Carolus Reinecke ? ?Smoothing methods in option price and Greeks calculations.?

15:30 to 16:00

Tea

16:00 to 17:00

Graeme West ? ?Post-crisis yield curve bootstrap.?



Tuesday the 16th of March

09:00 to 10:00

Eben Mare ? ?? made me do it.?

10:00 to 11:00

Discussion of Financial Engineering in South Africa

11:00 to 11:30

Tea

11:30 to 12:30

James Taylor ? ?The effect of funding liquidity spreads on derivative pricing.?

12:30 to 13:00

Glenn Brickhill ? ?A simple credit-equity model and implications for single stock volatility skews/smile structure.?


MIF Conference 2002

MIF Conference 2005

MIF Conference 2008