Member Profile
Oluwakemi Imole Kolawole
Country of origin: Nigeria Currently in: United Kingdom, Canterbury General field of specialization: Mathematical sciences- Academic Background
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Degrees
2017 Master Mathematical sciences2020 Doctorate Social and Economic Sciences - Research and Profession
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Current Research Activities
Mathematical sciences
In partial fulfillment of a structured masters degree at AIMS South Africa I submitted the project titled "Pricing European Put Option in a Geometric Brownian Motion Stochastic Volatility Model". ABSTRACTS: GBM stochastic volatility model is one of the proposed stochastic volatility models mentioned in Musiela and Rutkowski (2004), stochastic volatility models were introduced because option prices have been mis-priced using Black-Scholes model. In this thesis, we focus on pricing European put option in a GBM stochastic volatility model with uncorrelated stock and volatility. The option is priced using two numerical methods (Crank-Nicolson and ADI finite difference). Numerical schemes were considered because the closed form solution to the model could not be obtained. The change in option value due to changes in volatility, maturity time and market price of volatility risk are considered and we also compare the efficiency of the numerical methods by computing the CPU time. Keywords: Geometric Brownian Motion (GBM), Alternating Direction Implicit (ADI), Crank-Nicolson.Research Keywords:OptionDerivativesfinancial economicsStochastic Volatility ModelEuropean Put OptionFinite difference methodsCrank-Nicolson SchemeAlternating Direction Implicit SchemeADI and Crank-Nicolson SchemeVolatility modelsCurrent profession
Current professional activities type:Research
Workshop and Conference Attended
2016 African Institute for Mathematical Sciences Summer School in Mathematical FInancePresentation given
2016Asset or Nothing CallAfrican Institute for Mathematical SciencesEvent: Financial Mathematics - Prizes, Grants and Awards
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Other Awards
May 2015MasterCard FoundationI received MasterCard Foundation scholarship for my master's degree at African Institute for Mathematical Sciences where I was registered at the University of Cape Town.May 2014Silver MedalI received a silver medal from among 79 mathematics major students pulled from Nigerian universities to participate in the annual Olympiad competition .Jun 2012Ekiti State Government Award of ExcellenceEkiti State Government Award of Excellence is a scholarship scheme awarded to indigenous undergraduate students from all the universities in the country with a cumulative gpa 4.00/5.00 and above.
