The Financial Mathematics Team Challenge (FMTC) was held at UCT for the first time in 2014 and is jointly organised by AIFMRM and University College London (UCL). Based on the enormous success of the first challenge, this has become an annual, 10-day event, held during the UCT mid-year vacation.
The purpose of the FMTC is for South African postgraduate students in financial mathematics to have the opportunity to focus (ostensibly without distraction) on a topical, industry-relevant research project, while simultaneously developing links with international postgraduate students and academics in the field. One of the goals of the FMTC is for students to learn to work in diverse teams and to be exposed to a healthy dose of fair competition while doing so. An allied aim is to bring a variety of international researchers to UCT and thereby give them a glimpse of the dynamic mathematical finance environment. The research problems are either proposed directly by our industry partners or chosen from areas of current relevance to the finance industry.
Each team is composed of a mixture of Master’s and PhD students, with a student team leader and an academic or industry practitioner as team mentor. The participating students receive preliminary reading a month before arrival in Cape Town. However, the research problems are only allocated to the teams at a meeting on the morning that the challenge starts. Each group works on their research problem for 7 days, with a day’s outing in-between, and are then required to present their findings on the final 2 days. It is mandatory for every team member to participate in the presentation. On the afternoon of the final day, the winning team is announced at a prizegiving event and awarded a floating trophy.
Each team submits a report containing a critical analysis of their research problem and the results that they obtained. We publish the FMTC reports in a combined volume with the aim of inspiring future participants and mathematical finance students in general.
After a hiatus in 2020 and 2021 due to the pandemic, the seventh Financial Mathematics Team Challenge took place from 27 June to 6 July 2022. Three teams of UCT Master’s and PhD students took part. Team mentors participated from UCT, University College London, University of Johannesburg, University of Technology Sydney and University of Wuppertal/Quaternion Risk Management.
The teams performed well, with exceptional results. The titles of the 2022 research reports were:
Covered Interest Parity Arbitrage
Updating Volatility Surfaces
Using Gaussian Mean Mixtures for Pricing American Options
The sixth Financial Mathematics Team Challenge ran from 24 June to 4 July 2019 with five teams participating. The team members were Master’s and PhD students from UCT, University College London, London School of Economics, McMaster University, Imperial College London, University of Zimbabwe and Sanlam Investments.
Team mentors participated from UCT, University College London, University of Technology Sydney, London School of Economics, McMaster University, Imperial College London and University of Zimbabwe.
As expected, all the teams performed brilliantly. The titles of the 2019 research reports were:
Robust Pricing and Hedging of Basket Options
On Level Dependence of Volatility and the CEV Market Model
Financing the Green Revolution
Option Pricing and Hedging with Deep Learning
Inferring OIS Discount Factors in the South African Market
The fifth Financial Mathematics Team Challenge ran from 26 June to 6 July 2018 with four teams participating. The team members were Master’s and PhD students from UCT, University College London, University of Oxford and ETH Zürich.
Team mentors participated from UCT, University of Oxford, ETH Zürich and StepStone, a Zürich based private markets firm.
Once again, the results were excellent despite the demanding schedule. The titles of the 2018 research reports were:
JIBAR Dynamics and Short Dated Caplets
Commitment Scheduling for Private Equity Investments
Portfolio Optimisation under Uncertainty
An Assessment on the Appropriateness of the use of the LFMM in South Africa
This year we finally “exported” the FMTC idea to the rest of the world! Inspired by the success of the FMTC pioneered at AIFMRM in collaboration with University College London, EMAp/FGV was pleased to hold the first FMTC Brazil in Rio de Janeiro from 8 to 18 August 2018.
The fourth Financial Mathematics Team Challenge ran from 18 to 29 July 2017. The five teams comprised of Master’s and PhD students from UCT, University College London, Freiburg University and the University of Technology Sydney.
Team mentors participated from UCT, University of Technology Sydney, ETH Zürich, University of Vienna, McMaster University and Fundação Getulio Vargas. Glen Point Capital LLP, a London-based macro hedge fund, contributed one of the research problems and partial sponsorship for the 2017 challenge.
The teams produced outstanding research under extreme time pressure. The titles of the 2017 research reports were:
Realistic Risk Parity
An Early Warning System for Financial Crises and Long-term Asset Management
Model Calibration with Neural Nets
Managing Estimation Risk in Mean-Variance Portfolio Optimisation
Rough Volatility
The third Financial Mathematics Team Challenge ran from 29 June to 11 July 2016. The five teams comprised of Master’s and PhD students from UCT, University College London, ETH Zürich, Université d’Évry-Val-d’Essonne and University of Technology Sydney.
Team mentors participated from UCT, University College London, Rand Merchant Bank, University of Technology Sydney, ETH Zürich, Université d’Évry-Val-d’Essonne and University of Vienna.
Once again, the teams were unbelievably industrious, evidenced by the exceptional quality of the research produced. The titles of the 2016 research reports were:
Stochastic Models for Commodities: a Case Study under the Financialisation Period
XVA Metrics for CCP Optimisation
Polynomial Models for Market Weights at Work in Stochastic Portfolio Theory: Theory, Tractable Estimation, Calibration and Implementation
Recalibration: a Criterion Based on Model Risk
Credit Risk in Stock-Based Lending
The second Financial Mathematics Team Challenge ran from 2 to 14 July 2015 with five teams participating. The team members were Master’s and PhD students from UCT, ETH Zürich and University College London.
Team mentors participated from Liberty Financial Solutions (LibFin), Prescient Securities, UCT, ETH Zürich, Université d’Évry-Val-d’Essonne and University College London.
The students applied themselves with incredible dedication and exemplary energy, working until the early hours of the morning. The titles of the 2015 research reports were:
A Study on Expected Shortfall in a Multi-Currency Environment
Margin Optimisation for Central Counterparty Applications
Linear Commodity Models with Unspanned Stochastic Volatility
Long-Dated Swaption Pricing in Single and Multi-Curve LIBOR Market Models
Valuation of Callable Floating Rate Notes (FRNs) with Write-down Features
The first Financial Mathematics Team Challenge ran from 3 to 14 July 2014 with four teams participating in the inaugural event. The team members were Master’s and PhD students from UCT, University of Johannesburg, African Institute of Mathematical Sciences (AIMS), Université d’Évry-Val-d’Essonne and University College London.
Team mentors participated from Standard Chartered Bank, Prescient Securities, UCT, University of Johannesburg, Université d’Évry-Val-d’Essonne and University College London.
The first challenge was a resounding success. The students worked exceptionally hard and as expected, the competition was fierce, with an incredible amount of team spirit. The titles of the 2014 research reports were:
Commodity Futures Spread Options
bA Multi-Curve Models with Counterparty Risk
Pricing Kernels, Multi-Curve Models and Swaption Pricing
Portfolio Diversification using Higher-moment Measures – Entropy and the Diversification Delta