CAPSTONE PROJECT
 

Applied Finance Project (AFP)

 

The Applied Finance Project (AFP) is a capstone experience designed to give MFE students the opportunity to apply their knowledge to solve a financial engineering problem for a company or organization. The experience combines client communication, team collaboration, and practical application of students’ quantitative abilities.

AFP projects concentrate on such areas as quantitative trading strategies, portfolio management, risk management, hedging and derivatives valuation, and are sponsored by top organizations that include PIMCO, Citi, PwC, Aspirant, Accenture, AXA Rosenberg, Hyundai Capital and Research Affiliates. Students interact directly with clients, gaining valuable exposure to potential employers and broadening their professional networks.

 

4 Students per team

 

1 High Growth Company

 

7 Month Research Project

 

Alumni Testimonials

 
  •  

    “The AFP gave me exposure and structure to solve a real-world financial engineering problem, looking for potential methodologies, testing them empirically and providing reasoning behind the solutions, while working face-to-face with established professionals. Learning to present the process and intuitions behind the results has been quite useful in my current role.”

    Sebastian Orozco de la Paz  (MFE ’20)
    Complex Securities Associate, Ernst & Young

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    “As a student in the AFP, I learned a lot of things beyond the textbook. I realized that industrial application could be vastly different from academia. So, after I started working at this company, I have managed several AFPs with students. They have contributed a lot to the project, and we have been able to leverage their fantastic work, as we have used some of it in our actual production. It’s definitely a win-win situation.”

    Jeremy Zhu  (MFE ’17)
    Associate, CNH Partners LLC (Arbitrage Affiliate of AQR Capital Management)

  •  

    “I have a data science background and was interested in pursuing a career in in the finance industry. For my AFP, I chose a machine learning project on interpreting financial texts using natural language processing (NLP). I had no prior experience in NLP, but the AFP gave me the opportunity to learn the end-to-end process, from scraping 10-K data from SEC websites to building latent Dirichlet application (LDA) models for topic modeling. Fortunately, during my internship, my team was working with LDA models, and I was able to share my knowledge with them.”

    Mudit Gurnani  (MFE ’20)
    Senior Data Scientist, SoFi

  •  

    “The AFP was a unique opportunity for me. The topic my group chose was about forecasting short-term price movements for execution algorithms. The project served as an excellent reference for me during my job search and opened up new avenues for learning.”

    Shagoon Malhotra  (MFE ’18)
    Associate, Credit Suisse

  •  

    “The AFP built a bridge between my education and my career. I worked closely with a company where I applied valuable skills from my MFE experience to a real-life situation. My performance led to a consulting position in the company, which became my reference for my current employer. I am grateful for my AFP experience and its critical role in my transition from academia to the private finance sector.”

    Timothy Engle  (MFE ’17)
    Associate, Morgan Stanley, NYC

  •  

    “As an alumnus, it’s been a pleasure to participate in the AFP on the employer side. We have participated twice, and we’re going to keep coming back! There are a lot of complex and abstract problems we are looking to solve and only so many minds. They’re always going to offer us new and different perspectives. We want to view the students’ perspectives in case there is something we haven’t thought of.”

    Jason C. Mercurio  (MFE ’16)
    Quantitative Analyst II, O’Neil Global Advisors, Los Angeles

 

Employer Testimonials

 
  •  

    “As a student in the AFP, I learned a lot of things beyond the textbook. I realized that industrial application could be vastly different from academia. So, after I started working at this company, I have managed several AFPs with students. They have contributed a lot to the project, and we have been able to leverage their fantastic work, as we have used some of it in our actual production. It’s definitely a win-win situation.”

    Jeremy Zhu  (MFE ’17)
    Associate, CNH Partners LLC (Arbitrage Affiliate of AQR Capital Management)

  •  

    “I love participating in the AFP. It’s a way of vetting talent. If you have a data science problem, you know you can participate in UCLA Anderson’s AFP and find students to help you — you can depend on them! If I randomly select a CV of someone in this program, I know that person is likely to be productive, self-motivated and technically astute. Employers don’t want to have to start from scratch to find great talent.”

    Gina Sanchez* 
    CEO, Chantico Global, LLC

    *New Member to our MFE Advisory Board

  •  

    “The combination of the excellent education in financial math and the eagerness to apply new machine learning techniques made working with Anderson students very productive. Their ability to codify the ideas made the combination even more effective.”

    Peter Decrem 
    Director Rates Trading, Citi

  •  

    “The AFP built a bridge between my education and my career. I worked closely with a company where I applied valuable skills from my MFE experience to a real-life situation. My performance led to a consulting position in the company, which became my reference for my current employer. I am grateful for my AFP experience and its critical role in my transition from academia to the private finance sector.”

    Timothy Engle  (MFE ’17)
    Associate, Morgan Stanley, NYC

  •  

    “One of the biggest value-adds of the AFP is the team component. You must work together as a team, figure out how to split up the work on a complex project, communicate with your team and make sure everyone is learning and contributing — all while having valuable interactions with the company.”

    Jason C. Mercurio  (MFE ’16)
    Quantitative Analyst II, O’Neil Global Advisors, Los Angeles

 

AFP Topics Covered

 
Examples of Past AFP Projects:
  • Machine Learning for Risk Management in Fixed Income
  • The Effects of Macro-Economic Events on Trading Activity and HFT Algorithms
  • Twitter Sentiment Analysis
  • Deep Learning for Valuation of American and Bermudan Options
  • NLP to Interpret Company Reports
  • Fair Value Model of Cross-Currency Swaps/li>
  • Multi-Factor Models for Global Equity Markets
  • Social Impact Fixed-Income Strategies
  • Bank Forecast and Credit Modeling Platforms
  • Enhanced Portfolio Construction Techniques
  • MSR Hedging Strategies
Topics Covered:
  • Asset allocation
  • Equity quant strategies
  • Options and derivatives
  • Fixed income
  • Returns and earnings prediction
  • Credit risk
  • Machine learning
  • High-frequency trading
  • Text-based signals (NLP)
  • ESG and social impact
  • Cryptocurrencies
 

AFP Faculty

 

Ehud Peleg, Ph.D.

Assistant Adjunct Professor of Finance

Read Bio
 

A Sample of Participating Companies