Quantitative Finance Projects

3 units

This course is offered to MSF students in the Quantitative Finance track, and it provides students with the opportunity to deeply delve into a topic in quantitative finance and write an extensive paper on the topic. Broadly speaking, topics include (but are not limited to) portfolio optimization; asset return forecasting; risk modeling; factor models of asset returns; derivative trading; and high-frequency trading. The paper must include an analytical component and may be one of the following: 1) a research paper analyzing data and testing hypotheses relating to quantitative finance and an in-depth case study of a company involved in quantitative finance; or 2) a paper on any other topic approved by the instructor. Students will work on projects in groups and will meet four times during the semester.