Award season came early (or late?) for two of the department’s PhD students.
Fourth-year PhD student Ali Al-Aradi headed to Brazil this August and led his team of local Master students to victory in the 2018 Financial Mathematics Team Challenge.
For ten days, Al-Aradi’s team dove deep into research on a number of real-world problems in financial mathematics. Their work involved using machine learning techniques to solve partial differential equations (PDEs), which arise in various applications related to quantitative finance, including option pricing, optimal investment and studying systemic risk.
The team’s final research report included suggestions on how to solve PDEs in finance and economics using deep neural networks.
“It was a really intense time but absolutely worth it,” says Al-Aradi. “For me, this was a great opportunity to step into a leadership role – identify strengths and weaknesses and manage the team accordingly.”
Al-Aradi and his team at the 2018 Financial Mathematics Team Challenge in Brazil.
PhD student Philippe Casgrain also had reasons to celebrate. As one of five finalists for the INFORMS Best Student Paper Award, he was invited to present his submission at a conference in Phoenix, Arizona, in early November – and ultimately won the competition with his presentation and paper on algorithmic trading with partial information.
“To know that my publication stood out amongst so many brilliant submissions is quite an honour,” says Casgrain. “My submission was part of my thesis, so beyond the cash prize, it’s also nice to be recognized for something you’ve worked on for so long.”
Congratulations again from the entire department!