MS&E 444: Investment Practice

Spring 2014

2012, 2011, 2010, 2009, 2008, 2007 and 2002 class websites.


Instructor: Kay Giesecke, Huang Engineering Center 307
Office Hours: Wednesdays, 10:30-12:00

Instructor:  Kapil Jain
Office Hours: Tuesdays, 3-5 pm in 333 Littlefield, or by appointment

TA: Justin Sirignano, Huang 141U
Office Hours: Thursday 9:30-11:30 AM, Huang 138

Spring 2014



- Weekly meetings with instructors and TA (no formal lectures)  on Wednesdays 2:15-4:05 PM, Y2E2 278A 

- Final team presentations: Jun 4, 2014 at 2:15 PM

-Project reports due on June 11, 2014

-Application form due 4/1 at 5 pm (

Class Description:

Work in small teams on cool projects developed by experts in quantitative finance. No prior knowledge in finance necessary (won't hurt), but strong quantitative skills for tackling data-rich problems are key. This year's projects are focused on aspects of risk modeling. See the 2012 website for examples of projects from last year.

Teams (up to 4-5 people) should have a broad range of skills. If you don't have a team already please come to the first class to network and form a team. Enrollment is limited so please submit application form to apply for registration. Strong undergraduates are welcome.

Application Form

Since the enrollment in this class is limited (to approximately 30 students), we ask each student to submit an application, and then by April 3rd we'll let people know which teams were selected via email and this website. Please download the application form, fill it out, and return it before the given deadline.

Proposed Projects and Class Materials

Available here.

Projects and Meetings Times

Project 1 (Capital Structure Arb), Weds 2:15pm, Y2E2 278A

- Yao (Leo) Li

- Henry Fan

- Xiongfeng (Andy) Li

- Jingyuan Mo

Project 2 (Cash/CDS basis), Weds 2:35pm, Y2E2 278A

- Gilad Meron Ashpis

- Robert Ethan Stacey

- Qian (Laura) Liu

- Shirui Hu

Project 4 (Momentum), Weds 2:55pm, Y2E2 278A

- Dan McHugh

- Abishek Sheshadri

- Ziwei Duan

- Wan Jin Park


Yahoo finance

VIX (volatility index) from the CBOE Indexes database.

Options prices from the OptionMetrics database.

Earnings announcements from the FirstCall database.

NYSE Trade and Quote (TAQ) database.