Guidelines
Chooseonlyoneprojectfromthoseinthisbooklettocompleteandhandin. StudentsontheMSc
in Quantitative Finance are encouraged to choose project 2; mathematics students should only
choose project 2 if they have previously studied financial mathematics. The projects are written
to be self contained, but you may (indeed, are encouraged to) reference relevant books, papers
and other resources. You can of course ask me for any clarifications.
Project 1 is worth 40% of the marks for the course, and is be assessed by a written report,
marked out of 40. The report will be marked in accordance with the criteria as described below
under “Grading criteria”.
This is not a group work assignment and your report and all code must be written by you
individually. Do not read or copy the work of other students, and do not discuss the projects/-
coursework or share your own work with others. Do not copy (or closely paraphrase) material
from other sources. Please see the university guidelines on plagiarism Thereportsandassociatedcodeshould
be submitted online on Blackboard by the deadline below.
• Write your report as though for a fellow student on your course: you will need to explain
carefullythetopicofyourproject,butthereisnoneedtodescribemorebasicmathematical
concepts.
• Aim for precision and clarity of writing.
• The report should be well structured, containing:
– an introduction and description of the problem
– discussion of the problem formulation and numerical techniques used
– your results, supported using figures and tables as required, and analysis of these re-
sults
– a conclusion
• Ideally, reports should be typeset in L
and project template is provided on the course website, which you may use if you wish.
though you may use Microsoft Word or other word-processing software
LISTOFPROJECTS 2
• The report should not exceed 15 pages in length (excluding long tables, code etc. in ap-
pendices). This should be regarded as a maximum: a concisely written project may score
very high marks using somewhat fewer pages than this.
• Any books or articles referred to must be included in a references section.
• Figures and tables should be clearly labelled, and all figures and tables in the report must
be referenced in the text.
• Any code used to generate results used in the report must be included in an appendix. I
mayaskyoutoprovidethesourcecodefilesinadditiontothis. Smallportionsofcodemay
be included in the text, or references to the code in the appendix can be used.
• Any numerical results presented should be accompanied by a reference to the code which
generatedthem(e.g. thenameofasourcecodefileincludedintheappendix). Itisveryim-
portantthatanynumericalresultspresentedinthereportaregeneratedfromthenumbers
produced by your own code.
• Youshouldattempteverytasksetintheproject,butyoudonotneedtowriteupeverytask
forthereport. Thetasksthatshouldbewrittenupforthereportareindicatedclearlyinthe‘Report’sectionattheendoftheproject. However,youarewelcometotowriteupsomeof
the other tasks in the report as well, and you may find this useful to explain what you have
done.Presentation
Thereportshouldbewellstructuredwithanintroductionoftheproblembeingsolved,aproblem
formulation, results, andaconclusionssection. Itshouldbeclearlywrittenand freefromspelling
and grammatical errors. Mathematics should be typeset carefully. The figures and tables should
be clear, references in the text, and labelled with suitable captions.
Mathematicalcontent
The report should be factually accurate and the mathematical language precise and clear. There
shouldbecleardescriptionsoftheprojectandtheoutcometobeachieved,withevidenceofun-
derstandingthewidercontextoftheproblem. Anyresultsandconclusionsmadeneedtobewell
supported and coherent. Numerical results should be interpreted in the context of the mathe-
matical problem, and the accuracy of the computations should be discussed in some depth. For
example, numerical results should supported by validation/test cases (to demonstrate that the
code has been implemented correctly), by grid or timestep convergence tests (to check that the
result is accurate). Check that the results are a credible solution to the original problem! The re-
port should provide evidence of an understanding, and the competent application, of the range
of techniques and methods used in the project, and evidence of technical skills.
C++code
Most importantly, the code must be correct, producing the results that are claimed. The code
should be robust, incorporating tests and error checking (e.g. errors from coding mistakes or in-
validuserinput,aswellasnumericalerrorduetodiscretisationandroundoff)whereappropriate.
The code should be well structured (e.g. using object oriented programming, where suitable or
wherespecifiedintheproject),andsuitablycommented. Creditwillbegivenforadditionaleffort
putintothecodebeyondtheminimumrequirementsoftheproject(forexample,wherecodehas
beenoptimisedforspeed,orhasbeenstructuredinanovelandsuitableway,orwhereextensive
testing has been built in).
Resources
• See the project template file on the course website for an example of LATEX syntax and for
links to web resources for more information about LATEX.
• For a guide to scientific writing in general, see
– ScientistsMustWrite (R. Barrass, Routledge, 2002)
– TheElementsofStyle. (W. Strunk & E. B. White, 1999)
– What’s wrong with these equations? (N. D. Mermin, in Physics Today, October 1989),
available For technical guidance on plotting figures in MATLAB/Octave and Gnuplot, see the online
notes on the course website. For guidance on figure design (much of it beyond the scope
of what is required for this course) see, for example, The Visual Display of Quantitative In-
formation (E. R. Tufte, Graphics Press, 1983) or Semiology of Graphics (J. Bertin, ESRI Press,
2010).
Gradingcriteria
• 20marks(50%ofthemarksfortheproject)areforobtainingthecorrectnumericalanswers,
andwritingthecodethatdoesso. Thesemarksaregainedfromquestionsinthereportthat
askfornumericalresultstobetabulatedorplotted,andfromthequestionsthataskforcode
tobewritten. Thesenumericalanswersshouldbeincorporatedintothewrittenreport(not
presented as standalone answers to each question).
• The remaining 50% of the marks for each project are for the understanding and analysis
demonstrated in the report. These marks assess how you have chosen appropriate algo-
rithms and program architectures in your code, how you have validated your numerical
results,andpresentedtheseinthecontextofthemathematicalproblem. Thelevelsofper-
formance required to gain these marks are described in table 1 below.