Sample Industrial Projects

Students complete the program with a summer industrial project (MFM 720) in any number of professional areas of financial mathematics. Below are samples of the work done by our previous students.

• An Introduction to the BGM Model.pdf
• Black-Litterman and Scenario Optimization.pdf
• Default Management of Central Counterparty Clearing House.pdf
• Delta Based Volatility in Pricing Models of Commodity Derivatives.pdf
• Economic Capital Allocation - The Importance of a Conditional Risk Measure.pdf
  
• Estimation of Probability of Estimation of Probability ofDefault for Low Default Portfolios
• FRTB: The Canadian Perspective
• Simulating Mulltivariate Poisson Processes
• Stress testing PD and Migration Rate