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April 25: Wharton Team Wins Financial Engineering Case Competition Hosted by Tepper School


Deb Magness                    

Wharton Team Wins Financial Engineering Case
Competition Hosted by Carnegie Mellon's Tepper School

Tepper School Team Ties Princeton for Second

PITTSBURGH—A team from the University of Pennsylvania's Wharton School won the 2008 Financial Engineering Case Competition hosted by the Tepper School of Business at Carnegie Mellon University. The host team from the Tepper School and Princeton University tied for second-place at the 11th annual contest.  This year's event, held April 4 at Lehman Brothers New York headquarters, was sponsored by the Tepper School, Lehman Brothers, PRIMIA Institute and Appaloosa Management Partners.

The competition requires teams to solve a complex financial engineering problem in just six hours. The case this year focused on the energy derivatives market.  Competitors were asked to design and price exotic electricity- and natural gas-linked structured products based on underlying cash flows from an electrical power plant. Teams presented their solutions before a panel of judges made up of faculty from the competing schools and Lehman Brothers executives.

Seven teams joined this year's competition, including the University of Chicago, Columbia University, the University of California at Berkeley, New York University, Wharton, Princeton and Carnegie Mellon.  

The winning Wharton team included Kedrick Brown, Alex Gitnik, Dominique Toublan, Nitin Tuteja and Yinglu Zhang.  Princeton's team included Mattieu Boisot, Nicolas Cojocaru-Durand, Eric Goldlust, Ganesh Lakshminarayana and Dan Moraru.  The Tepper School team included Yasser Boualam, Junfu Cai, Danny Fang, Andrew Hicks and Kenneth Lam.

The Financial Engineering Case competition is the premier competition to showcase the business and analytical skills of top graduate business students in the areas of derivative security valuation and financial engineering, also known as computational finance. Carnegie Mellon offers one of the most highly regarded programs in computational finance at the bachelor's, master's and doctoral levels, as well as a joint degree with the MBA program.