Department of Mathematical Sciences

Dr DC Ikpe

College of Science, Engineering and Technology
School of Science
Department: Mathematical Sciences
Senior Lecturer
Tel: 011 670 9153
Fax: 011 670 9171
E-mail: ikpecd@unisa.ac.za

Qualifications

  • BSc. Hons (Wits)
  • MSc (Cum-laude, Unisa)
  • PhD (UCT)

Currently teaching

  • Numerical methods I (COS2633)
  • Optimal Control (APM4809)
  • Measure Theory and Integration (MAT4831)
  • Continuous Time Stochastic Processes (APM4802)

Fields of academic interests

Research interests

  • Mathematics: Optimal Stopping, Martingale Transport, Stochastic Analysis, Stochastic Optimal Control.
  • Mathematical Finance: Incomplete Market Methods, New discounting framework, Information-Based Framework, Market Characterization Arbitrage Theory and Completeness
  • Insurance: Microfinance/credit, Agricultural and Weather Risk management

Field of Specialisation

  • Mathematics
  • Statistics and Probability
  • Finance
  • Insurance

Journal articles

  1. Modelling Financial Information by Conditioning. Communications in Stochastic Analysis (2014), 99-110. With S. Mataramvura and R.  Becker.
  2. Kalman Filter Estimates for the Information-Based Price of Credit Risky Assets.  Journal of Computational Finance,  (Submitted, 2016) . With R. Becker.
  3. Generalized Brownian Bridges and Credit Risky Asset Pricing:  Journal of Stochastic Processes and Applications,  ( Submitted 2016), . With S. Mataramvura.
  4. Optimal Stopping under Partial  Observation with Applications in Commodity Options. SIAM Journal of Control and Optimization,  (Submitted, 2017). With O.O Olusanya.

Professional positions, fellowships & awards

Professional Membership:

  • South African Mathematical Society(SAMS)
  • Southern African Mathematical Sciences Association(SAMSA)

Awards & Fellowships:

  • 2014-2016 African Presidential  Scholar, University of Michigan, USA
  • 2015-2016 Postgraduate Travel Grant, University of Cape Town, South Africa
  • 2013-2016 Academic Qualification Improvement Program (AQIP), Department of Science and Technology, South Africa
  • 2010-2011 Postgraduate Merit Award, National Science Foundation, South Africa
  • 2008-2009 Postgraduate Merit Award, University of Witwatersrand, South Africa
  • 2005 Best Graduating Student in Mathematics, Michael Okpara University of Agriculture Umudike, Nigeria
  • 2001-2005 Undergraduate Scholarship, Federal Government of Nigeria