Choose only one project from those in this booklet to complete and hand in. Students on the MSc in QFFE are encouraged to choose project 2; other students should only choose project 2 if they have previously studied ﬁnancial maths. The projects are written to be self contained, but you should reference relevant books, papers and other resources as needed. You can of course ask me for any clariﬁcations.
This project is worth 30% of the marks for the course, and is be assessed by a written report, marked out of 30. 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. The reports and associated code should be submitted online on Blackboard by the deadline below.
- Writeyour report as though for a fellow student on your course: explain the project topic carefully, but there is no need to describe more basic mathematical concepts.
- Aimfor precision and clarity of writing.
- Thereport 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 LATEX and submitted in PDF format, though you may use Microsoft Word or other word-processing software if you have not used LATEXpreviously. A TEX coursework and project template is provided on the course website, which you may use if you wish.
- Thereport must not exceed 10 pages in length (excluding long tables, code etc. in appen- dices). This should be regarded as a maximum: a concisely written project may score very high marks using somewhat fewer pages than this.
- Anybooks or articles referred to must be included in a references section.
- Figuresand tables should be clearly labelled, and all ﬁgures and tables in the report must be referenced in the text.
- Anycode used to generate results used in the report must be included in an appendix. I may ask you to provide the source code ﬁles in addition to this. Small portions of code may be included in the text, or references to the code in the appendix can be used.
- Anynumerical results presented should be accompanied by a reference to the code which generated them (e.g. the name of a source code ﬁle included in the appendix). It is very im- portant that any numerical results presented in the report are generated from the numbers produced by your own code.
- You should attempt every task set in the project, unless marked as optional, but you should not write up every task for the report. The tasks that should be written up for the report are indicated clearly in the ‘Report’ section at the end of the project. However, you are welcome to to brieﬂy write up some of the other tasks in the report as well, if you ﬁnd this useful to explain what you have done.
The report should be well structured with an introduction of the problem being solved, a problem formulation, results, and a conclusions section. It should be clearly written and free from spelling and grammatical errors. Mathematics should be typeset carefully. The ﬁgures and tables should be clear, references in the text, and labelled with suitable captions.
The report should be factually accurate and the mathematical language precise and clear. There should be clear descriptions of the project and the outcome to be achieved, with evidence of un- derstanding the wider context of the problem. Any results and conclusions made need to be well 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 methods used in the project, as well as suﬃcient validation to make a convincing case that the numerical results are correct.
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- valid user input, as well as numerical error due to discretisation and roundoﬀ) where appropriate.
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