London-based PhD student and AI R&D Engineer at InstaDeep, Valentin Courgeau, travelled to South Africa to compete in the annual ACQuFRR Financial Mathematics Team Challenge (FMTC) end of June. And boy was it worth the trip, as Valentin and his team climbed to the top!
A new standard for interest-rates
The team led by Valentin, comprised of Alan Yeung (UCT), Tinotendu Muchabaiwa (UCT) and Zezhun Chen (LSE). Together they proposed a new standard for interest-rate model calibration on European and South African markets. “Our solution focused on bringing together cost-effective risk management and volatility level-dependence. We actually showed that the industry-standard models were the worst performing ones in this case”, Valentin explained, not hiding how thrilled they were to lift the trophy at the end of the 10-day event.
Ambitious Research Problems
The competition, hosted by the African Institute Of Financial Markets And Risk Management (AIFMRM), started in 2014 and has since become a highlight of the academic financial mathematics calendar. Attracting students from the world over, the 2019 edition (between 25th June – 4th July), saw teams travelling to the Mother City from Canada, South Africa, Zimbabwe and the UK. During the challenge, each team aims to solve an ambitious research problem on a topical, industry-relevant project, before presenting their solution to a jury consisting of senior researchers.