Prominent on campus in Limbe this week, the course aims at giving the students a basic foundation on Stochastic Analysis. Visiting lecturer Prof. Olivier Pamen is introducing the students to stochastic analysis with emphasis on Brownian motion, Itos integral, Itos formula and applications as well as stochastic differential equation.
The theoretical results are illustrated with numerical examples while applications are made to Mathematical Finance.
Prof. Olivier Menoukeu Pamen is a Reader in Mathematical Sciences at the Institute for Financial and Actuarial Mathematics (IFAM), University of Liverpool. He was seconded for four years at AIMS Ghana as German Research Chair on Stochastic Analysis, supported by a Humboldt Foundation grant. He is currently a research associate under the Humboldt Chair framework at AIMS Ghana and supervises PhD and MPhil students at AIMS Ghana.
This Cameroonian-born citizen with solid expertise in Stochastic Analysis and its application in Finance and Insurance, completed his MSc in Mathematics at the University of Yaoundé I, Cameroon. He then proceeded into a PhD program in Financial Mathematics at the University of the Witwatersrand, South Africa. Thereafter, he joined the Centre of Mathematics for Applications at the University of Oslo, Norway, as a Post-Doctorate research fellow. From there, he eventually took up a permanent position in the Institute for Financial and Actuarial Mathematics at the University of Liverpool.
His primary research interests include stochastic analysis and its applications, stochastic optimal control theory and their applications in finance, stochastic differential equations, Malliavin calculus. He has recently developed an interest in micro finance.
Prof. Pamen is a member of AMU/CIMPA Committee for African Mathematical schools (AMS) for the period 2018-2021.