Practicum

A key part of the MSFE program is the "practicum" course based on real-world projects provided by industry partners. In this course, teams of students will work on projects or problems posed by or developed in cooperation with an industry partner. Through these projects, students will be exposed to "real world" financial engineering and risk management problems. Students will have the opportunity to use state-of-the-art analytic tools and software products to assist them in with such projects.

The projects are structured so that a finished product is delivered to the sponsor at the end of the semester.

The practicum is a win-win program. Students gain valuable experience and have an opportunity to significantly impact a company. Corporate partners see the practicum project as an opportunity to use talented, external manpower to tackle a project that requires specialized insight or tools. They also use the practicum as a chance to see your work on the job as a potential future employee.

If you are interested in sponsoring a Practicum Project we'd like to hear from you. Email us at msfe@illinois.edu.  

 

Spring 2022 Practicum Projects

JP Morgan Chase:  "Calibrating Local Volatility from American Options"

JP Morgan Chase:  "Constructing Arbitrage-Free Implied Volatility Surface"

Ernst & Young:  "Proxy Credit Spread Curve Model Development"

Simply Gray:  "Robust Models for Home Price Forecasting"

 

What did our Practicum Sponsors have to say about the projects and teams?

“This group carried out the project beyond my expectations.  The topic is very challenging mathematically and implementation wise.   The team’s ability to turn ideas into results was truly impressive.  They were able to derive all the mathematical results, even spotted an error from the original author.  Experimented with a number of numerical algorithms and was able to reach very promising results.  It gave me hope that MOT approach to vol fitting could lead to very tangible industrialized implementation.  Great work, team!!!!” - JP Morgan Chase

“The students have demonstrated their presentation skills via weekly session with EY sponsors, during which they were able to describe model details clearly, justify key model choices with strong evidence, and raise inspiring questions to the EY sponsors. The final deliverables (model document, scripts, and presentation decks) are of high quality with sufficient supporting evidence and testing analysis.” - Ernst & Young

“Given the scope of the project was broad, the students did an excellent job at creating a framework of analysis for the project and determining success criteria. The compartmentalized approach to problem solving will be very helpful as we look to further enhance the modeling techniques, bench-marking performance and variable selection. The students demonstrated a lot of interest in solving a good solution to the problem, always performed above expectation, put in the extra bit of time. Team displayed elements of great problem-solving skills, as an example looking for expert opinion. Key strengths displayed include good technical skills in math/statistics, programming in python (and wrote efficient and share-able code), good analytical judgment in identifying issues and pointing them out. Simply Gray’s goals are achieved as the current solution is a good platform to continue further research on.” - Simply Gray

 

Previous Corporate Sponsors include:

  • Advocate Asset Management
  • Ash Brokerage
  • AxisRe
  • Bank of Montreal
  • Boston Options Exchange
  • Busey Bank
  • Chicago Trading Company
  • CME Group
  • Connexin
  • Elementum
  • Ernst & Young
  • Fidelity
  • Florez
  • Fort Sheridan Advisors LLC
  • Google
  • Lane Financial LLC
  • MarketAxess
  • Nanex
  • Paca Nguyen
  • Peak6
  • Pearson
  • PeerEx Investments
  • Principal
  • RCM
  • Shostek
  • Social Market Analytics
  • SpiderRock
  • Sreenivas
  • Sowers
  • SunGard Financial Systems
  • TFGM
  • UBS
  • University of Illinois
  • Ye
  • Wedbush Securities
  • Wells Fargo Bank