Dr Antonie Kotze (Pr.Phys)
Antonie holds a Ph.D. in Theoretical/Mathematical Physics from the University of the Witwatersrand where Quantum Chaos Theory was his field of interest. He is a registered professional physicist (http://www.saip.org.za/index.php/news-and-events/opportunities/287-register-as-professional-physicist-pr-phys-with-saip). With more than 23 years' experience as a quantitative analyst in the South African and African financial and derivatives markets, he is a renowned expert in financial mathematics, modelling and training. Antonie is a former Rand Afrikaans University (currently the University of Johannesburg) faculty member who has facilitated many successful training workshops throughout Africa. He has recently been appointed Senior Research Associate in the department of Quantitative Finance at the University of Johannesburg and and as Extraordinary Senior Lecturer in the Department of Mathematics and Applied Mathematics at the University of Pretoria.
With his one foot firmly planted in academia, he bridges the gap between academic research and the practicalities of the trading floor and risk management within trading houses.
The span of Antonie's derivative experience includes capital, interest rate, foreign exchange, commodity (hards and softs), credit and equity markets. He has hands-on knowledge of trading derivatives, statistical analysis, Monte Carlo simulations, stress testing and scenario analysis, option trading and risk management systems, basket and relative arbitrage, futures curves, equity linked and interest rate derivative structures, foreign exchange futures, derivatives clearing and collateralised finance - the gains of working in a front office quantitative position. He is also a registered Safex and YieldX derivatives dealer.
He has been an independent derivatives pricing, valuation and model validation specialist and expert since 2003. He also conducts and facilitates specialist training courses and workshops on all topics relating to the financial markets, trading, risk management, Basel regulations and derivatives pricing and modeling.
Antonie's career history includes close work with institutional clients and hedge funds to devise investment, hedging and gearing strategies utilising complex optionality. He has developed highly sophisticated mathematical models and computer systems used by traders, risk managers, fund managers and corporate financiers. As a derivative expert he assists companies and audit firms in the structuring, modelling and valuation of complex mergers, acquisitions, take-overs, lending agreements between companies, BEE structures, structured transactions and employee share incentive schemes.
Antonie held positions as a quant at Standard Bank, RMB, Mercury Structured Products and Absa Corporate and Merchant Bank (now Absa Capital and part of Barclays Capital) before he incorporated Financial Chaos Theory (FCT) in 2003. FCT is proud to be an independent valuation service provider or pricing vendor.