FMTC-BR 2018

The first FMTC-BR took place from 8-18 August 2018 at FGV, Rio de Janeiro. The teams consisted of Masters students from Brazil and PhD students from Australia, Canada, and the USA. The team mentors joined the FMTC-BR from Brazil (FGV), Canada (University of Toronto), South Africa (University of Cape Town) and the USA (University of California, Santa Barbara). The 2018 research topics were in:

  1. Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning (prof. Yuri Saporito, FGV EMAp)
  2. Machine Learning the Greeks (prof. Mike Ludkowski, UCSB)
  3. Machine Learning and Stochastic Control in Algorithmic Trading (prof. Sebastian Jaimungal, Univ. of Toronto)
  4. A Calibration of the Lognormal Forward LIBOR Model (prof. Tom McWalter, University of Cape Town)

The report for the 2018 edition can be found here.