FMTC-BR 2019

aunched in Brazil for the first time in 2018, The FMTC-BR brings together Brazilian and international graduate students to undertake research in Financial Mathematics on real-world problems in a team setting. 

The second FMTC-BR will take place from 24 July to 3 August 2019 at FGV, Rio de Janeiro. The teams consisted of Masters students from Brazil and PhD students from England, France and USA. The team mentors joined the FMTC-BR from Brazil (FGV EAESP), England (Kings College London) and USA (University of Connecticut).

Inspired by a successful initiative developed at the African Institute of Financial Markets and Risk Management (AIFMRM), University of Cape Town, in collaboration with University College London, the Fundação Getulio Vargas is pleased to host the first FMTC-BR in Rio de Janeiro. Four teams of mixed Masters and Doctoral students each work on a separate research project for seven days and then present their findings on the final two days. The teams are mentored by academic and industry experts from around the world. Each research problem is proposed by the mentors and the selected projects are in topical research areas. In order to prepare each team for the challenge, some initial guidance and preliminary reading is given one month before the challenge begins. The team with the highest-quality solution is awarded a floating trophy.

Each team of students is asked to prepare a report on their findings, which is collated in a workshop volume. This volume is then available to future Team Challenge participants, and Masters and Doctoral students in Financial and Insurance Mathematics. The expected output from the Challenge is the written report. This is a great opportunity for students to interact and collaborate in the fields of Risk, Financial and Insurance Mathematics.

The teams work in a well-equipped, friendly and motivating work environment at Fundação Getulio Vargas (FGV). 

The 2019 research topics are:

  1. Derivatives hedging with price impact (prof. Ryan Donnelly, KCL)
  2. Pricing and hedging in incomplete markets (prof. Teemu Pennanen, KCL)
  3. Interaction terms in metamodels (prof. Emiliano Valdez, Univ. of Connecticut)
  4. Order book dynamics (prof. Alan de Genaro, FGV EAESP)