FE800 Project in Financial Engineering

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Course Catalog Description

Introduction

This course is designed for 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.

Campus Fall Spring Summer
On Campus X X
Web Campus X X

Instructors

Professor Email Office
Zhenyu Cui
zcui6@stevens.edu Babbio 514
Khaldoun Khashanah
khaldoun.khashanah@stevens.edu Babbio 543



More Information

Course Description

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:
    • Asset Replication through Kalman Filtering
    • 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:
    • CUDA parallel programming methods
    • Derivative Pricing and Hedging Software Design and Implementation
    • 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:
    • Volatility Surface for OTC instruments (with ICAP)
    • Mortgage industry Analytic (with Fannie Mae)
    • Project ACTUS

Project Approval

The project chosen and developed throughout the semester must be:

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

Additionally, you will be required to give a status and progress report about the project in a presentation format every week of the semester. 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.




Additional References

No textbook is required for the course. However, you may find it useful to consult Kate L. Turabian, A Manual for Writers of Research Papers, Theses, and Dissertations. 7th Edition. University of Chicago Press, 2007. ISBN: 02268233772



Grading

Grading Policies

Item Due Date Grade
Abstract, Schematics, and Literature Review 2018-09-11 10%
Assessment of Learning (AOL) Document due 2018-10-02 10%
Phase One Presentations 2018-10-02 10%
Phase Two Presentations 2018-10-23 10%
Final Written Report Due 2018-12-16 30%
Final Oral Presentation 2018-11-27, 2018-12-4 20%
Attendance Throughout semester 10%


Grading the final paper

In the following we describe how we shall grade the final paper and the breakdown of the points.

  • Difficulty (5 pts). Difficult problems receive more points. Trivial ones receive less.
  • Originality (5 pts). Papers showing more creativity will receive more points.
  • Organization (10 pts). Papers should be laid out in a clear, logical way. The structure should adhere to the format that will be discussed on numerous occasions. The paper should have clear headings, numbered pages, and good transitions.
  • Abstract (5 pts). The Abstract should give a very concise overview of the paper, and should emphasize the paper’s particular contribution.
  • Introduction (10 pts). The Introduction should give a clear description of the background of the problem, why the problem is important, what new issues this paper intends to investigate, and how it differs from previous research.
  • Literature Review (5 pts). The Literature Review should give a thorough review of the research previously done on the topic. It should identify seminal papers in the field. The papers should all be related to the subject under consideration. Chicago citation style must be used. All papers cited in the Literature Review must be listed in the Bibliography, and all papers listed in the Bibliography must be cited in the Literature Review. This section may be combined with the introduction depending on the novelty of the subject.
  • Methodology (15 pts). The Methodology section should describe the techniques that were used to investigate the problem. Importantly, since this is a project in Financial Engineering, the method should be mathematically oriented, and should use equations that are properly formatted and explained. All variables should be defined clearly. Also importantly, the Method section must be so clear that somebody else in the future can use it as a recipe to repeat the work done.
  • Results (15 pts). The Results section must describe your findings clearly in terms of what you set out to achieve and how you did so using the techniques described in the Methodology section. This section should not simply list a set of numerical results; it should also describe and interpret the results obtained in the context of the specific problem. The reader should be able to draw insight from this section.
  • Conclusion (5 pts). The Conclusion should mirror the Abstract, but should emphasize your new findings.
  • Bibliography (5 pts). The Bibliography should list the references from the Literature Review using Chicago style. All pertinent information should be listed so that future researchers will be able to locate and read the references. Use only reliable peer-reviewed articles as references.
  • Instructor Discretion (20 pts). The Instructor has discretion to add points for extraordinary achievements, or to subtract points for poor quality, spelling errors, grammatical errors, incorrect citations, failure to adhere to required format, or other issues.

Each group paper must explicitly state what contribution each group member made to the work.

Common problems

Many draft papers submitted suffer from a common set of problems. Please be wary of the following:

  • Lack of clarity. Too long phrases. Too much irrelevant information.
  • Lack of page numbering.
  • Referring to the written report as a “thesis.” This paper does not qualify as a thesis.
  • Lack of Figure and Table labels and descriptions.
  • Incorrect citation format.
  • Incorrect Bibliography format.
  • Errors in spelling and grammar. The former is inexcusable.
  • Failure to adhere to the required format.
  • No headings.
  • Failure to define and explain variables and acronyms.
  • The use of dubious quality references, such as Wikipedia.
  • The instructors can easily detect plagiarism, and no form of plagiarism will be tolerated. Please refer to the Stevens’ library discusion of plagiarism and the resulting penalty matrix.

Grading the Final Oral Presentation
Organization (10 Points)

Main points were clearly identified and easy to follow. Clear “signposts” to focus audience attention. The talk is logical. Presentation text is readable and clear. Graphs and figures are clear and understandable. Visual components support the main points of the talk.

Content (25 Points)

  • Introduction (8 points): Introduction has an “attention getter”. States the project’s objective. Lays out the problem well. Defines background and importance of research.
  • Body (11 points): Material included is relevant to the overall message. Appropriate amount of material is prepared for allotted time. Points made reflect their relative importance. Presentation used appropriate sources and cited in presentation. Material was clearly explained. Describes methodology.
  • Conclusion (6 points): There is an obvious conclusion that summarizes the presentation. Reviews potential weaknesses (if any) in findings. Provides a ”take-home” message.

Delivery and Style (5 Points)

Talk is well rehearsed. Speaker maintains good eye contact with the audience. Speaker uses a clear, audible voice. Delivery is poised, controlled, and smooth. Spoken, not read. Length of presentation is within the assigned time limits. Limited use of filler words (“umm,” “like,” etc.). Speaker is able to answer questions professionally. Talk maintains the interest of the audience. Speaker is dressed appropriately.


Lecture Outline

Topic Reading
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