Dr. Diane Wilcox, PhD

Dr Diane Wilcox is a new faculty member in the Department of Computational and Applied Mathematics, University of Witwatersrand. Her research interests include applications of Mathematics to Finance and Economics in Quantitative Analysis and Modelling of Financial Market Dynamics, Pricing Derivative Securities (Applied Stochastic Analysis), and Hedge Fund Indices, Replication and Style Analysis.

Her early foray into research was in so-called pure mathematics, which had rich and deep mathematical content, but which was nevertheless fundamentally linked to concrete contemporary applied mathematics. After completing her PhD in 2002, she commenced with research relating to the mathematics of financial markets. While a challenge to change fields into an area where there was limited expertise in SA, she was motivated by her interests in political economics, her desire to work on challenging mathematics that had direct and immediate application in the South African context, and the dynamics at play in financial market indices. She was particularly interested in understanding the nature of option contracts and the Black-Scholes-Merton option pricing formula for which Myron Scholes and Robert Merton won Nobel prizes in 1997 (Fisher Black died in 1995 and the prize is not awarded posthumously).

Diane is committed to raising awareness about science and popularising mathematics and participates several times a year in Science Days for school learners and has also served as a Carnegie mentor for undergraduate female students from disadvantaged backgrounds.

Diane currently engages in research on mathematical problems arising in the understanding of the South African financial market. She has also worked as a quantitative analyst and financial engineer in industry and presented her work at several international and local conferences.