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.
Four teams participated in the ninth Financial Mathematics Team Challenge from 24 June to 4 July 2024. The team members were Master’s and PhD students from UCT, University College London, Stanford and Stellenbosch University.
Team mentors participated from UCT, University College London, Stellenbosch University, Carnegie-Mellon and University of Liverpool.
Once again, the teams outdid themselves and produced excellent research. The titles of the 2024 research reports were:
- Pricing Index Based Insurance for Maize Crops in South Africa
- Generative Modelling of Arbitrage-Free Markets via Neural SDEs
- Monte Carlo Arithmetic Asian Options Pricing with Variance Reduction Techniques
- Climate Risk Analysis of the South African Interest Rate Swap Market
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The eighth Financial Mathematics Team Challenge ran from 10 to 20 July 2023, with four teams participating. The team members were Master’s and PhD students from UCT, University College London, ETH Zurich and University of Vienna.
Team mentors participated from UCT, University College London, University of Technology Sydney, ETH Zurich, University of Vienna, Reykjavik University and Riskworx.
As is always the case, all the teams performed superbly. The titles of the 2023 research reports were:
- Bayesian Model Averaging Applied to Implied Expected Signature Models
- Physics-informed Neural Networks for Option Pricing and Hedging
- Sequential Monte Carlo for Index Tracking with Transaction Costs
- South Africa’s Carbon Opportunity
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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
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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
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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.
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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
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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
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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
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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
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