Financial mathematics team challenge Brazil: a collection of the four reports from the 2018 Financial Mathematics Team Challenge Brazil

Abstract

The research pursued by the four teams included projects on (a) Solving Challenging PDEs in Finance and Economics using Deep Learning, (b) (Machine) Learning the Greeks, (c) The LIBOR Forward Market Model and Emerging Market Swaption Implied Volatility Term Structures, and on (d) Machine Learning and Stochastic Control in Algorithmic Trading. Each team of students wrote a report on their findings. The four reports constitute this volume, which will be available to future FMTC participants. It may also be of use and inspiration to Masters and PhD students in Financial and Insurance Mathematics.