Instructions for enrollment

To enroll in this class the student needs to submit a request via workday to override pre-requisites for FA/FE 800. Proceed as follows: Please log in to workday and type in the search bar “pre-requisite course override”. Fill all of the information required, select FA 800 (search for it if not available), and then answer the questions in this questionnaire. Please type in the comment box “completing requirements for the FA program”. Once submitted, the form will be routed to the faculty member teaching the class. The faculty knows and once the approval is received the student will be notified that approval is received. Once this email is received the student NEEDS TO GO BACK and register for the course. Please make sure to register for 3 credits as the system defaults to 1 credit. The system will require you to actively select the class and register.

Course Objective

This course is designed for FA students undertaking a research or analytical project either individually or as a group. The project may be suggested either by faculty members or industry senior managers associated with your internship, as well as any internship that a student may receive through this course. The goal of this course is to train students' ability to work on a research-oriented project in a group environment, and also train their professional presentation and scientific writing skills.

At the end of this course the students will be able to:

• Implement techniques learned in the course of the Masters’ program to real problem
• Deliver a final product, either an algorithm, a theoretical proof, or a code implementation and demonstration
• Create a detailed weekly project plan, learn how to deal with milestones, all in the context of a specific financial analytics problem
• Produce weekly updates and present very short, meaningful progress reports every week.
• Deliver presentations in front of senior management through the two phase presentations and the final project presentation
• Create a final report detailing their findings in a form of a journal paper or a white paper using LaTeX.

Project Types

The projects covered by this course are typically one of the following three types:

1. Research projects are typically oriented toward the field of Mathematical Financial Engineering. Some examples include:


• Statistical Modeling of Trading Strategies
• Credit Derivative Arbitrage
• Dynamic Portfolio Allocation Methods
• Optimal Hedging Monte Carlo
• Regulatory Research (Basel III, CVA, etc.)
• Stochastic Volatility modeling
• Volatility trading strategies


2. Analytics projects typically involve Software Design and Implementation. Some examples include:


• High Frequency Market and client implementation
• News Analytics
• Rare events automated discovery
• Regulatory (Basel III, CVA) Software Design and Implementation


3. Industry projects are geared toward solving problems arising in industry and are generally proposed by our industry partners. Some examples include:


• UBS project on Credit Rating
• Machine learning Projects from Bank of America

Project Approval

The project chosen and developed throughout the semester must be:

1. A project proposed by a faculty member,
2. A project proposed by an industry supervisor and approved by the course instructors, or
3. A project proposed by a student and approved by the course instructors.

Web Section

The Web section students are encouraged to attend the class at the same time as the on campus students. If there is a conflict with work, then the students can check the recording of the lectures. Note that we do the oral presentations (weekly updates, phase 1&2 presentations) during class time. The students will be given the opportunity to present through the Zoom. In the occasion that the student can not present during the class time, please contact the instructor and TA beforehand to arrange for the presentation through other means.

Grading Policies

The final grade will be assigned according to the scheme in Table 1.

Additionally, you will be required to give a status and progress report about the project in a presentation format every week of the semester, unless that class time is reserved for the phase 1 or phase 2 presentations. The weekly updates are not graded but the comments received will help guide you in your development of the project.

Late submissions will strictly not be accepted without prior notice and permission of the instructor. If outside circumstances are affecting your ability to perform in the course, you must contact the professor before you fall behind.