Progress

Students are required to register for this course. This is an independent effort, and there is no resource for provision of formal supervision of the project by any lecturer. If there are any questions for the project, students should check with Dr. David Zhang at [email protected].

Scope of project

There is a wide range of possibilities for what can be done within a project. The only restriction is that the topic you work on is preferably related to at least one of the courses that you have taken in the MFE program or should be related to financial engineering or risk management. For example, purely macro-economic topics or computer science topics are not appropriate. As other example, a topic focused on technical analysis without any relation to financial engineering would not be appropriate.

Three examples of valid approaches are given, but you are certainly not restricted to these three.

1. Develop a numerical example that is related to a course in the MFE program. For example, the implementation of a particular model for pricing a particular financial derivative. The report should include the objectives, methodologies, results and conclusions of the chosen model. It should also point out the strengths and weaknesses of the methodologies used, and the applicability of the data sets used. Some possible improvements and possible extensions should be given.

2. Examine a new, innovative financial product. The report should explain the structure and details of the product, any hedging concerns, uses and target market for the product. The report can include an empirical study on the price history of product, perhaps relating to the efficiency of hedging using futures. Or the report can include a pricing of this product using numerical or analytical techniques.

3. A case study of a financial crisis or disaster, recent trends or market development or a company specific event which is relevant to financial engineering or risk management. At a minimum, the case study should contain: detailed exposition of facts or chronology of events, analysis of the problems or issues involved, the proposed solutions to prevent them from happening in the future. The analyses must use the quantitative methods and techniques, as well as application of the qualitative concepts, learned from the MFE program. You may also create a hypothetical case, the exposition and analysis of which should demonstrate your application of the theories from the various financial engineering subjects.

The report will be graded on the originality of your contribution as well as the following five factors:

(i) Clarity of explanation

How clearly are concepts and methodologies explained? Do the different portions of the report link well with each other? Are graphs and charts used in a meaningful way to display results for the reader?

(ii) Accuracy and relevance

Are the explanations correct? If there are any numerical calculations, are they done correctly? Is the topic chosen relevant to the material given in the course?

(iii)Depth of understanding displayed

Is there evidence that the content related to the MFE course is understood well? Has a thorough literature review been performed and is the existing literature well understood? If an article has been chosen, has the article been understood correctly?

(iv)Insight and innovation

(v) Labour involved

How much work has been put into the project? Is it a simple straightforward extension of material from courses or a more thought-out extension requiring additional research or numerical work? The labour involved is relative to the 108 hours of a usual course. A detailed breakdown of workload is required in the cover page of the report.