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Cornell Financial Engineering students win IAQF competition

Friday, July 10, 2015

Six Cornell Financial Engineering students teamed up to claim their share of first place in the fourth annual Academic Affiliate Membership Student Competition sponsored by the International Association for Quantitative Finance.

The team was composed of Shaojie He, Jin Li, Sandeep Saju, Mengying Zhang, Yanan Zhang and Jiahe Zhou. Leveraging their knowledge in finance, actuarial science, statistics and optimization, the students were able to produce a robust data-driven solution. Ultimately, the report was deemed a winner among 25 highly competitive teams.

In January 2015, IAQF released the problem, which consisted of designing a product that would reduce the risk of defined-benefit pension plans. The problem is a very timely one and has been documented extensively in the financial press. Guided by Cornell Financial Engineering Manhattan’s Victoria Averbukh and Sasha Stoikov, the “Greeks and Geeks” spent most of its winter break skyping with each other from various corners of the globe. After reviewing the financial literature and exploring the data, the team was able to write a stellar report—Liability Driven Investment: A Dynamic Hedging Strategy Against Multiple Risk Exposures of Pension Funds—detailing its solution.

“Solving practical problems sponsored by industry is at the core of the School of Operations Research and Information Engineering Master’s of Engineering program,” says Stoikov. “We are very proud to see how well our students competed against the top-ranked quantitative finance programs.”

Every year, the IAQF sponsors a competition in quantitative finance. Teams of students from top quantitative finance programs compete to solve a practical financial problem and have one month to produce a report. A panel of judges awards a prize to the best report.

The competition submissions went through a multi-level selection process and were reviewed by the Board Selection Committee. Four teams were selected as winners in a four-way tie, as the final tallying was too close to call. Each of the winning teams will be awarded a share of an increased prize of $2,000 and will be invited to present their solutions at an IAQF sponsored event in New York.

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