• Research Project - DSC4830
• Financial Risk Modelling - DSC3705

• Stochastic volatility modelling
• Financial Econometrics
• Robust portfolio optimisation
• Financial machine learning
• Interest rate modelling

• Fractional Volatility Modelling
• Market Connectedness

• Mpanda, M. M., & Sebola, I. K. N. (2026). Dedollarisation in the BRICS+ Currency Bloc: A Market-Based Analysis of Return and Volatility Connectednes. Eurasian Economic Review, 1-47.  

• Patient, K. K., Mpanda, M. M., Didier, K. S., Cherif, D., & Grégoire, P. L. (2026). Heston option pricing with trapezoidal fuzzy parameters. Results in Applied Mathematics, 29, 100691. 

• Sebola, I. K. N., & Mpanda, M. M. (2025). Cross-market connectedness of returns and volatility in South African and BRICS+ financial markets. Cogent Economics & Finance, 13(1), 2568968. 

• Mpanda, M. M., & Gorjão, L. R. (2025). Fluctuation Analysis of Volatility in South African Stock Market Indices. Computational Economics, 1-33. 

• Mpanda, M. M. (2024). A Fractional Heston-Type Model as a singular Stochastic Equation Driven by Fractional Brownian Motion. Fractal and Fractional, 8(6), 330. 

• Mpanda, M. M., Mukeru, S., & Mulaudzi, M. (2022). Generalisation of fractional Cox-Ingersoll-Ross process. Results in Applied Mathematics, 15, 100322. 

• Mukeru, S., Mulaudzi, M. P., Nzabanita, J., & Mpanda, M. M. (2020). Zeros of Gaussian power series with dependent random variables. Illinois Journal of Mathematics, 64(4), 569-582.

• Mpanda, M.M., (2022, June 14). Generalised Fractional Cox-Ingersoll-Ross process. Paper presented at the 11th World Congress of the Bachelier Finance Society, Hong Kong, China, page 252.
• Mpanda, M.M., (2024, October 2). Fluctuation Analysis of Volatility in South African Stock Market Indices. Paper presented at the 9th International Conference on Financial Services, South Africa.

Research Projects

• Enhancing Rough Fractional Stochastic Volatility Models with Multifractality
• Time-dependent fractional volatility modelling.
• Calibration in fractional volatility modelling with machine learning techniques

Programme Development

• BSc in Quantitative Finance
• BSc Hons in Quantitative Finance specialising in Financial Engineering and Financial Technology.
• MSc and PhD in Quantitative Finance