Mathematics In Finance
  
    Project and Presentation, 2000
  
  PRELIMINARY PROJECT PROPOSAL GUIDELINES
  

 
   The project is basically an apprentiship in quantitative finance.
   It should integrate the various aspects of the program into the
   solution of a particular problem.  A good project will have 
   
     * A market component, a market driven need for the project.
   
     * A modeling component, A specification of a mathematical model
       that captures enough of the behavior of the market forces to
       give useful information on the problem.
     
     * An background component, a survey of existing literature in the
       area.
     
     * A computing component, use of computational techniques to analyse
       the model and get conclusions.
     
     * An analysis component, some discussion of mathematical properties
       of the model and some discussion of the market implications of the
       results.
     
     * A presentation.
     
   Students are encouraged to work in small groups, but single student
   projects are also allowed.  Students need to find a project mentor
   who is able to spend at least an hour a week with them during the fall
   semester.  Steve Allen is helping students find projects and advisors.
   
   
    GUIDELINES FOR THE PRELIMINARY PROPOSAL
    
The preliminary proposal is so that we can see right away that you are
starting a project that makes sense, with a definite group, and mentor
who is qualified and understands what is expected of a mentor.  In just 
page or two, you should specify the group members and mentor, and the
topic.  More specifically, you need to inlcude

  * A statement of that the project will accomplish and the market
    need for this, who will be interested and why.
    
  * A preliminary discussion of the methods you may use.  This may be
    a bit vague or uncertain at this point, but there should be something.

  * Reading list: a few articles or book chapters or web sites with 
    background information on the project area including modeling
    and computational techniques as well as basic financial information.