The Hanlon Financial Systems Center enables faculty, doctoral candidates, and graduate and undergraduate students to carry out and assist in cutting-edge research in areas such as quantitative finance, risk management and portfolio optimization.

FE 800 projects

Students in the Financial Engineering master's program can take the capstone course FE 800 Selected Topics in Financial Engineering in order to apply their knowledge to solve specific problems in their discipline of interest. Faculty, in collaboration with other Stevens professors as well as industry professionals, propose a range of topics and problems related to the master's coursework for students. The course also emphasizes core business skills such as collaboration, leadership, presentation and technical writing, as students work in groups to tackle problems and present their findings. Oftentimes, student teams wind up publishing their findings in various academic journals.

Selected Projects

2016 Fall

Garch Option Pricing and Volatility Scaling for LETFs

Accenture Project: Quote/Conflict of Interest Analytic Engine

VIX Option Pricing with Stochastic Volatility and Jump Diffusion

2016 Spring

Contingent Convertible Bonds: Assessment of Selected Pricing Models

Fixed Income Volatility Indices

Options Valuation and Calibration for Leveraged Exchange-Traded Funds

Effects of Macroeconomic Factors on Brazilian Private Consumption

Application of Estimating Volatility to the Modeling of EIA

2015 Fall

Foreign Exchange Option Pricing

Predicting S&P 500 Component

Dynamics of Stock Price: Reaction to Shocks

Credit Scoring Model

2015 Spring

Copula Methods in CDO Tranche Dependence Structure

Calibrating Heston Model

Electricity Forward Pricing

Customers Sentiment on Life Insurance Industry

Comparison of Power Laws and BGM Model

Opportunities in Rare Events

Stock Market Sonification

2014 Fall

Stochastic Volatility Models and Applications to Risk

Employee Stock Options and Valuation

Chinese Market Project

Basel III, Expected Positive Exposure and Credit Valuation Adjustment