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Membership type: full

Oluwakemi Imole Kolawole

Country of origin: Nigeria Currently in: United Kingdom, Canterbury General field of specialization: Mathematical sciences
Academic Background

Degrees

2017 Master Mathematical sciences
2020 Doctorate Social and Economic Sciences
Research and Profession

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: 
Option
Derivatives
financial economics
Stochastic Volatility Model
European Put Option
Finite difference methods
Crank-Nicolson Scheme
Alternating Direction Implicit Scheme
ADI and Crank-Nicolson Scheme
Volatility models

Current profession

Current professional activities type: 
Research

Workshop and Conference Attended

2016 African Institute for Mathematical Sciences Summer School in Mathematical FInance

Presentation given

2016
Asset or Nothing Call
African Institute for Mathematical Sciences
Event: Financial Mathematics
Prizes, Grants and Awards

Other Awards

May 2015
MasterCard Foundation
I 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 2014
Silver Medal
I received a silver medal from among 79 mathematics major students pulled from Nigerian universities to participate in the annual Olympiad competition .
Jun 2012
Ekiti State Government Award of Excellence
Ekiti 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.

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