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biographic info |
academic career
I graduated with a BSc (with majors in mathematics & computer science) in 1994 and then completed BSc Honours in mathematics in 1995.
For 1996-2002 my principal
area of research was the study of multivalued semi-Fredholm operators under the
mentorship and supervision of Ron Cross. This work involved a geometric
and topologic problem for maps between Banach spaces and normed linear spaces
(without the completeness property). The challenge was to determine when and how
properties are preserved (remain stable) under change in conditions
(perturbation) [see publications]
In 1996 I began tutoring
undergraduate students in the Mathematics Department at UCT ; from 1998 I worked
as assistant lecturer, managing the Maths Hotseat (a learning centre for
1st yr math. students). From 1999 I also began teaching calculus and linear
algebra to undergraduates.
In 2001 I began teaching Introduction
to Derivative Securities [solution of 2nd order linear PDE and pricing
Derivative Securities] in the newly formed MSc programme in the
Mathematics of Finance in the Dept. of Mathematics and Applied Mathematics at
UCT [programme launched in 2000].
I submitted my PhD in 2001
and graduated at the end of 2002 (I also got married at end of 2001!)
In mid 2003 I launched a research project on the analysis of cross-correlation matrices of financial market timeseries in collaboration with Tim Gebbie. Our goal was to understand and to apply known properties of random matrices to de-noise estimated covariance matrices. I had encountered random matrix theory while reading up on developments in the theory of operator algebras related to my PhD research.
Now my research is focused on mathematics of finance and related problems in financial engineering for derivative pricing and portfolio optimisation [see current research and general research interests].
Hobbies: reading, swimming, hiking, rock-climbing, surfing the www, gardening