Department of Decision Sciences
Dr MM Mpanda
| College of Economic and Management Sciences | |
|---|---|
| School of Economic and Financial Sciences | |
| Department: Decision Sciences | |
| Senior Lecturer | |
| Tel: | 012 433 4716 |
| E-mail: | mpandmm@unisa.ac.za |
Qualifications
- BSc (Hons) (UNILU)
- MSc (UNISA)
- PhD (UNISA)
Professional Qualification
- Quantitative Finance (CQF, Fitch Learning)
Currently teaching
- Linear Mathematical Programming
- Financial Modelling I
Fields of academic interests
- Stochastic volatility modelling
- Financial machine learning
- Interest rate modelling
- Robust portfolio optimisation
- Malliavin Calculus in Quantitative Finance
Field of Specialisation
- Fractional Volatility Modelling
Journal articles
- Mukeru, S., Mulaudzi, M.P., Nzabanita, J. and Mpanda, M.M., 2021. Zeros of Gaussian power series with dependent random variables. Illinois Journal of Mathematics, 64(4), pp.569-582.
- Mpanda, M.M., Mukeru, S. and Mulaudzi, M., 2022. Generalisation of fractional Cox–Ingersoll–Ross process. Results in Applied Mathematics, 15, p.100322.
- Mpanda, M.M., 2022. Malliavin differentiability of fractional Heston-type model and applications to option pricing. arXiv preprint arXiv:2207.10709.
- Mpanda, M.M., Mukeru, S. & Mulaudzi, M.P. (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.
Projects
Research Projects
- Time-dependent fractional volatility modelling.
- Calibration in fractional volatility modelling with machine learning techniques.
- Malliavin Calculus in financial modelling.
Other
ORCID ID - http://orcid.org/0000-0002-0703-5658