Financial maths duo’s big win

Master’s in financial maths students Cole van Jaarsveld and Bandile Mbele helped their international team clinch a coveted trophy by solving an investment problem for a Zurich private markets firm at the annual Financial Mathematics Team Challenge (FMTC).

In its fifth year, the challenge was held in Cape Town recently. It required a combination of the talents of students and practitioners to find solutions to some of the finance industry’s most pressing problems.

Teams included master’s and PhD students from University College London, Oxford University and ETH Zurich. Each team had seven days to come up with solutions and two days of presentations before the winner was chosen.

The UCT duo’s team worked on a solution for optimal investment timing in illiquid private markets, a problem posed by Zurich firm StepStone.

The FMTC also brought international researchers to UCT, providing a glimpse of the “dynamic environment” developing at UCT’s African Institute of Financial Markets and Risk Management, said its director, Professor David Taylor.