NITheCS Quantitative Finance Research Programme


Quantitative Finance is one of the very active areas for applied mathematics, in terms of research and education.

The development of Quantitative Finance concerning the theory of derivatives pricing has experienced a massive growth over the last decades with countless publications, books, and academic journals. The field has become a new world since the Global Financial Crisis (GFC) in 2007. We have now seen the difficult, exotic problems of the pre-2007 days are no longer interesting, as the field underwent a paradigm shift. Simple issues for which there used to be textbook solutions now raise complicated questions, e.g., modelling roll-over risk, counterparty credit risk, single- and cross-currency basis spreads in swaps and forwards, the realisation of model risk because of model assumptions, model parameters, calibration and hedging. The research programme solves problems in financial valuation and risk management using advanced techniques from the field of mathematics, statistics and computing. This is far broader than just options and other derivative financial instruments.

Goals and scientific orientation

The main goals of this Programme are to disseminate research studies that challenge classical assumptions in finance and provide practice guidance on quantitative finance and various long-term quantitative investment strategies within South Africa and beyond. Its target members range from academic researchers to industry practitioners with a keen interest in applying quantitative methods in finance.

The Programme’s scientific orientation is towards financial risk management, with high priority given to industry-relevant research. The Programme aims to contribute to a better general understanding of the mathematical approach to quantitative finance and risk management, a topic with a significant social importance. One of the main focuses is to engage in more interdisciplinary research. One such area is a quantitative study of Sustainable Investment Policies, for example, investment policies that consider Environmental Societal Governance (ESG) criteria, and price ESG-linked financial derivatives.

Moreover, the Programme seeks to have a broad spectrum of research streams, such as modelling of new risks phenomena and new markets (electricity markets, emissions trading, liquidity risk modelling, and quantifying model risk). It is supported by cutting edge tools of mathematical finance, statistical and computational finance (e.g., optimisation methods, financial econometrics, machine learning and parallel computing).

NITheCS Quantitative Finance Research

Members of Research Programme

  • From 2023: Dr Mesias Alfeus (PI) (Stellenbosch University)
  • From 2023: Prof Daniel Polakow (Stellenbosch University)
  • From 2023: Prof Conrad Beyers (University of Pretoria)
  • From 2023: Prof Riaan de Jongh (North-West University)
  • From 2023: Prof Michael Graham (Stellenbosch University)
  • From 2023: Dr Chioma Okoro (University of Johannesburg)
  • From 2023: Prof Helgard Raubenheimer (North-West University)
  • From 2023: Prof Ronald Richman (Old Mutual Insure)
  • From 2023: Prof Willem Schutte (North-West University)
  • From 2023: Prof David Taylor (University of Cape Town)
  • From 2023: Prof Tanja Verster (North-West University)

PI – Principal investigator (programme manager) 

NITheCS – Quantitative Finance Workshop 

The inaugural NITheCS – Workshop on Quantitative Finance (NITheCS-QFW2024), took place in Stellenbosch from 8-10 April 2024. Hosted by the NITheCS – Quantitative Finance Research Programme (QFRP), this workshop aimed to be a premier event for fostering collaboration and discourse within the field of quantitative finance.

Aims and Scopes
NITheCS-QFW2024 served as a dynamic platform for academia and industry professionals to engage in discussions and exchange insights on both the theoretical underpinnings and practical applications of quantitative finance. We welcomed contributions from diverse disciplines, including Mathematical Finance, Quantitative Risk Management, Portfolio Optimization, Financial Economics, and many more. Additionally, we invited participation from PhD students, early-career researchers, and seasoned practitioners, ensuring a rich and inclusive dialogue.

This was a closed workshop and attendance was by invitation. Local attendees from the Quantitative Finance field comprised university academics, practitioners and research students. Prof Matheus Grasselli from McMaster University in Canada also attended as an international delegate.




Papers published

‘The Changing Landscape of Financial Credit Risk Models’ by Tanja Verster and Erika Fourie in International Journal of Financial Studies.

‘A Forward-Looking IFRS 9 Methodology, Focussing on the Incorporation of Macroeconomic and Macroprudential Information into Expected Credit Loss Calculation’ by Douw Gerbrand Breed, Jacques Hurter, Mercy Marimo, Matheba Raletjene, Helgard Raubenheimer, Vibhu Tomar and Tanja Verster in Risks.

‘Enhancing classification performance in imbalanced datasets: A comparative analysis of machine learning models’ by Lindani Dube and Tanja Verster in Data Science in Finance and Economics.

‘Stochastic Default Risk Estimation Evidence from the South African Financial Market’ by Mesias Alfeus, Kirsty Fitzhenry and Alessia Lederer in Computational Economics.

‘Implied Roughness in the Term Structure of Oil Markets Volatility’ by Mesias Alfeus, Christina S. Nikitopoulos, Ludger Overbeck in Quantitative Finance.


Papers submitted for publication

Roll-Over Risk: New Evidence from an Emerging Market’ by Alfeus, M.

Work in progress

‘Pricing and Hedging of Futures Contracts on Renewables’ by Alfeus, M., Nikitopoulos, C. and Overbeck, L.

‘Pricing of Asian Options via Variance Reduction Methods’ by Alfeus, M. and Harvey, J.

‘Wind Energy Derivatives: Modelling for Risk Management and Investment’ by Dr Mesias Alfeus, Assoc. Prof Christina Nikitopoulos, Prof Ludger Overbeck, Dr Muthe Mwampashi and Theo Fischer.

‘Modelling the rand-dollar exchange rate in the case of sovereign default’ by Alexis Levendis and Mesias Alfeus.

‘Completing and stressing implied Volatility Surfaces using Variational Autoencoder(VAE)’ by Dr Hermann Azemtsa Donfack, Prof Celestin Wafo Soh and Mr B. F. Nteumagne.

‘Cheers to Enhanced Portfolio Performance: Wine as a Unique Asset Class’ by Mesias Alfeus, Anton Blignaut, Jean-Pierre Viljoen, and Roland Peens.

Partial fundings for students

Students studying towards their masters degree:
Houenansi Placide Ezin (University of Johannesburg)
Kudzai Michelle Hove (University of Johannesburg)
Nobukhosi Siphiwe Jama (University of Johannesburg)
Phuthehang Maphatsoe (Stellenbosch University)

Students studying towards their doctorate:
Francis Agana (University of Pretoria)
Jacob Oforo Lyimo (University of Pretoria)
Ntake Phillip Moloi (University of Johannesburg)
Siboniso Confrence Nkosi (University of Limpopo)
Praise Obanya (North-West University)