From left: Prof Mesias Alfeus (Stellenbosch University) delivered both a workshop and a plenary session in Australia, where he also took the opportunity to visit the renowned Hunter Valley Wine Region.
After a five-year interruption, the Quantitative Methods in Finance (QMF) conference returned in 2024, held at the University of Technology Sydney (UTS) from 17 to 20 December. This international premier conference brought together leading experts in the field of Quantitative Finance from academia and industry. Preceding the main conference, UTS and Léonard de Vinci Engineering School (ESILV) hosted a workshop on “The Transition to New Interest Rate Benchmarks.” I had the honour of being invited by the Finance Department of UTS and QMF to present both a workshop and a plenary session during my research visit from 9 to 26 December. It was a wonderful opportunity to reconnect with old friends and collaborators in Sydney.
10 December 2024: Seminar at Macquarie University
I attended a seminar talk by Prof Derej Bunn (London Business School) at Macquarie University City Campus, titled The Delicate Art of Securing Electricity Resource Adequacy. The discussion focused on the increasing global adoption of capacity payments to electricity generators, a topic that has become more pertinent due to the energy transition and associated uncertainties in production and consumption. The seminar provided critical insights into the modelling and assumptions behind capacity markets and their implications for Australia.
11 December 2024: Brown Bag Seminar at UTS
I was invited by the Finance Department of UTS to present a brown bag seminar on my paper Cheers to Enhanced Portfolio Performance: Wine as a Unique Asset Class. This study introduces a South African Fine Wine (SAFW10) index, constructed using a repeat-sales regression methodology, to assess wine investment’s potential in portfolio diversification. The stimulating discussion with finance academics provided valuable feedback that will further enrich my research on fine wine as an alternative asset class.
12 December 2024: Financial Mathematics Seminar at the University of Wollongong
I was honoured to be invited by the University of Wollongong to present a seminar to the School of Mathematics and Applied Statistics on Top 10 South African Fine Wines: To Drink or to Invest? The presentation examined the SAFW10 index and its role in investment portfolios, emphasising its potential to enhance portfolio performance. This visit was particularly meaningful, as Wollongong was where I secured my first academic position after completing my PhD. It was also a pleasure to reconnect with my esteemed collaborators, Professors Song-Ping Zhu and Xiaoping Lu.
The seminar generated considerable interest, particularly from Australian wine industry professional Robert Brydson. Following our extensive discussion, he expressed keen interest in my methodological approach and has decided to pursue a PhD under my supervision. His research will focus on vineyard land valuation and winegrape price dynamics, integrating econometric and stochastic modelling approaches to provide actionable insights for the wine industry.
I am deeply grateful to Glenelly Estate in Stellenbosch, especially Talita Louw and Dirk Van Zyl, for sponsoring my trip to Australia with their exceptional Lady May bottles.
13 December 2024: Pre-Workshop on Interest Rate Benchmarks
I presented a talk at the pre-QMF workshop on The Transition to New Interest Rate Benchmarks. My presentation, Navigating the JIBAR Transition: Progress, Impacts, Readiness, and Analytical Insights, examined the shift from the Johannesburg Interbank Average Rate (JIBAR) to the South African Rand Overnight Index Average (ZARONIA) and its financial implications.
17–20 December 2024: Plenary Talk at QMF 2024
During QMF 2024, I delivered a plenary talk on Analysing the JIBAR-ZARONIA Transition. My research applies a Cox-Ingersoll-Ross (CIR) model with stochastic jumps to simulate the forward spread between JIBAR and ZARONIA, revealing persistent volatility despite expected rate convergence. The analysis of Potential Future Exposure (PFE) highlighted the risks associated with legacy JIBAR-linked instruments. The findings underscore the importance of effective risk management and clear communication from the South African Reserve Bank (SARB) to ensure a smooth transition.
14–16 December 2024: Visit to Hunter Valley Wine Region
Beyond my academic engagements, I took the opportunity to explore one of Australia’s most renowned wine regions, Hunter Valley. During this road trip, I had the pleasure of tasting 40 exceptional wines, deepening my appreciation for Australia’s fine wine industry and drawing comparisons to South African wines.
Finally, my research visit to Australia was immensely rewarding, both academically and professionally. The opportunity to present my work, engage with leading scholars, and collaborate on emerging research topics was invaluable. Additionally, my discussions with Australian wine professionals reinforced the growing global interest in fine wine as an asset class. I am excited about future collaborations and look forward to integrating these insights into my ongoing research at Stellenbosch University.
Thanks to Professors Erik Schlogl and Christina Nikitopoulos for the invitation and their outstanding hospitality.
Prof Mesias Alfeus | PhD Quantitative Finance
Associate Professor at Stellenbosch University
Principal Investigator & Steering Committee NITheCS – Quantitative Finance
Editorial Board Member The Journal of Futures Markets
Associate Editor for the International Journal of Theoretical and Applied Finance (IJTAF)
SU GARP Academic Partnership Director
Prof Alfeus’s personal page