MEng Concentration: Financial Engineering
Anticipated Graduation Date: December 2014
Areas of Interest: Derivatives, Trading, Portfolio Management, Quantitative Strategies
Lucas completed his bachelor’s degree in Operations Research and Engineering, with a minor in Applied Mathematics, at Cornell University in 2013. Prior to beginning his CFEM semester, he spent his summer at Deutsche Bank Asset & Wealth Management. Before joining Cornell’s Financial Engineering program, Lucas spent the past two summers working at Samson Capital Advisors and conducting financial research under Cornell Professor David Ruppert.
At Deutsche, Lucas assisted the fixed income desk with an extensive study of the difference in asset allocation of portfolios when using nominal vs. real returns under the Markowitz mean-variance framework. Additionally, he aided the hybrid products desk in the pricing of exotic derivatives used to hedge underlying variable annuity funds.
At Samson Capital, Lucas assisted the investment and credit teams to provide liquidity models and research on municipal bonds. In his next summer, Lucas researched the performance of the Nelson-Siegel factor model on 15 years of U.S. treasuries. He tested the forecasted performance of the Nelson-Siegel model against an ARIMA time series, and a random walk model.
With his degree in financial engineering, Lucas hopes to continue to develop his quantitative skills to further understand the activity of financial markets. Likewise, he plans to pursue a career in trading, portfolio management, or quantitative strategies.