ACQuFRR Financial Mathematics Team Challenge (FMTC)

The Financial Mathematics Team Challenge (FMTC) was held at UCT for the first time in 2014 and is jointly organised by ACQuFRR 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 June/July break.

The purpose of the FMTC is for South African postgraduate students in Financial and Insurance 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 environment in Mathematical Finance, through ACQuFRR. 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 Masters 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 prize-giving event and awarded a floating trophy.

Each team is required to submit a report containing a critical analysis of their research problem and the results that they obtained. ACQuFRR publishes the FMTC reports in a combined volume (available for download via the links below) with the aim of inspiring future participants and mathematical finance students in general.

2017 Challenge

The fourth Financial Mathematics Team Challenge ran from 18 to 29 July 2017. The five teams comprised of Masters 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 2017 research reports were titled as follows:

  1. Realistic Risk Parity
  2. An Early Warning System for Financial Crises and Long-term Asset Management
  3. Model Calibration with Neural Nets
  4. Managing Estimation Risk in Mean-Variance Portfolio Optimisation
  5. Rough Volatility

Post 2017 FMTC links

  • Photos from the 2017 Challenge
  • Press article: Top universities compete in the third annual Financial Mathematics Team Challenge at UCT
  • 2016 Challenge

    The third Financial Mathematics Team Challenge ran from 29 June to 11 July 2016. The five teams comprised of Masters 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 2016 research reports were titled as follows:

    1. Stochastic Models for Commodities: a Case Study under the Financialisation Period
    2. XVA Metrics for CCP Optimisation
    3. Polynomial Models for Market Weights at Work in Stochastic Portfolio Theory: Theory, Tractable Estimation, Calibration and Implementation
    4. Recalibration: a Criterion Based on Model Risk
    5. Credit Risk in Stock-Based Lending

    Post 2016 FMTC links

    • Photos from the 2016 Challenge
    • Press article: Top universities compete in the third annual Financial Mathematics Team Challenge at UCT
    • 2015 Challenge

      The second Financial Mathematics Team Challenge ran from 2 to 14 July 2015 with five teams participating. The team members were Masters 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 2015 research reports were titled as follows:

      1. A Study on Expected Shortfall in a Multi-Currency Environment
      2. Margin Optimisation for Central Counterparty Applications
      3. Linear Commodity Models with Unspanned Stochastic Volatility
      4. Long-Dated Swaption Pricing in Single and Multi-Curve LIBOR Market Models
      5. Valuation of Callable Floating Rate Notes (FRNs) with Write-down Features

      Photos from the 2015 FMTC

      2014 Challenge

      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 Masters and PhD students from UCT, the University of Johannesburg, African Institute of Mathematical Sciences (AIMS), the Université d'Évry-Val-d'Essonne and University College London.

      Team mentors participated from Standard Chartered bank, Prescient Securities, UCT, the University of Johannesburg, the 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 2014 research reports were titled as follows:

      1. Commodity Futures Spread Options
      2. bA Multi-Curve Models with Counterparty Risk
      3. Pricing Kernels, Multi-Curve Models and Swaption Pricing
      4. Portfolio Diversification using Higher-moment Measures – Entropy and the Diversification Delta

      Photos from the 2014 FMTC

Copyright © 2014 Faculty of Commerce -- University of Cape Town