Developmental Lecturer Graduates with PhD in Financial Mathematics
“Combined Impulse Control and Optimal Stopping in Insurance and Interest Rate Theory”, was the title of Dr Sivuyile Mgobhozi’s PhD thesis.
Mgobhozi was introduced to the mathematics of Finance by Dr Sure Mataramvura of the School of Actuarial Science at UCT.
His Master’s degree in Financial Mathematics was supervised by Mataramvura. They worked on the completion of an incomplete market and pricing under incomplete markets.
Mgobhozi was later introduced to Dr Eriyoti Chikodza of the Department of Mathematics and Computer Science at the Great Zimbabwe University by UKZN’s Professor Simon Mukwembi. The two supervised him for his PhD thesis.
Said Mukwembi: ‘Just like any other school or department, getting a financial mathematician has always been a problem for us so we created the technique of developing our own. It was so difficult for us to secure a supervisor for Sivuyile. Fortunately, Dr Chikodza of Great Zimbabwe University kindly agreed to supervise him.’
‘Sivuyile has made us proud by his hard work, great focus and maturity,’ said Mukwembi. ‘I am sure that he will in turn give us more and more PhD graduates in the area of financial mathematics.’
Mukwembi said that owing to the uncertainty involved in real financial problems, this area of study was very difficult with new results being hard to find. ‘Sivuyile managed to make a breakthrough in optimising portfolios for an insurance company which pays dividends to its shareholders,’ he said. ‘This is a practical problem whose solution adds value to our contemporary world. I salute Sivuyile for his achievements. Well done.’
Mgobhozi was employed as a Developmental Lecturer in the School of Mathematics, Statistics and Computer Science at UKZN in 2012. His areas of research focused on financial mathematics, stochastic processes, levy processes, uncertainty theory, uncertain stochastic processes and optimal control of insurance reserves.
He submitted four research papers for publication in international journals for his PhD thesis. The papers have been presented at South African Mathematics Society conferences in Johannesburg and Harare, and at the Quantitative Methods in Finance Conference in Australia.
Mgobhozi said the aim of his research papers was to find an optimal way of distributing dividends to shareholders while keeping the banking industry solvent. He came up with a solution of using optimal control theory under uncertain random indeterminacy.
He is currently working on acquiring an Actuarial Fellowship Qualification, to bring back Actuarial Science to his beloved School of Mathematics, Statistics and Computer Science. His ambition is to get UKZN accredited by the Actuarial Society of South Africa.
Mgobhozi dedicated his work to his mother, Nomusa, daughter, Avuyile, and family and friends. He also expressed his gratitude to the National Research Foundation for the Thuthuka Grant he received in 2015.