Masters Dissertations
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Hi
Guys,
I am currently
looking for dissertation topics in Mathematical Finance so if anyone out there
has any ideas - please let me know.
I would like to
develop accompanying code as part of quantlib for whatever work I
do.
One strategy that
has been recommended to me is to find a recent paper and build on it in
some way - so did anyone read any great articles
recently?
Or maybe there are
areas on the Quantlib todo list I could make a dissertation out of?
The areas I am
particularly interested in are numerical methods in FX or Credit Derivatives
markets.
Thanks,
Daniel
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Re: Masters Dissertations
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Hi Daniel
As part of my master's thesis, I developed some
code to evaluate FX Options in the Heston / SVJD - model. You can find the
thesis (including a summary in English and source code) on the following
page:
I hope it can be an inspiration for
you.
I made my code as an extension to QuantLib,
which in some regards made my work easier, and in some others more complicated.
I still need to polish the code, so that it can become part of the official
release QuantLib code, though.
Also the following link might interest
you:
Good luck with your dissertation.
Niels
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In reply to this post by daniel saitowitz
Daniel,
On 2004.04.05 15:05, daniel saitowitz wrote: > I am currently looking for dissertation topics in Mathematical > Finance ... I would like to develop accompanying code as part of > quantlib for whatever work I do. Glad to hear this. It seems that QuantLib is being of some use to academia, which is nice---especially as I've been in academia myself in my previous life... (well, QuantLib wouldn't have been of much use there as I was calculating neutron spectra from thermonuclear plasmas, but I digress :) > maybe there are areas on the Quantlib todo list I could make a > dissertation out of? I doubt it. The todo list is more concerned with implementing existing literature than with breaking new ground. Unless you can focus your thesis on implementation, but I don't think this is the case, is it? > The areas I am particularly interested in are numerical methods in FX > or Credit Derivatives markets. Which are two areas in which QuantLib is utterly lacking. See how everything fit together neatly? :) Good luck, Luigi |
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Hi Luigi,
On 2004.04.05 15:05, daniel saitowitz wrote: > I am currently looking for dissertation topics in Mathematical > Finance ... I would like to develop accompanying code as part of > quantlib for whatever work I do. >>Glad to hear this. It seems that QuantLib is being of some use to >>academia, which is nice---especially as I've been in academia myself in >>my previous life... (well, QuantLib wouldn't have been of much use >>there as I was calculating neutron spectra from thermonuclear plasmas, >>but I digress :) Well you know what they say - the clever guys study physics and the rest of us end up doing math finance. > maybe there are areas on the Quantlib todo list I could make a > dissertation out of? >>I doubt it. The todo list is more concerned with implementing existing >>literature than with breaking new ground. Unless you can focus your >>thesis on implementation, but I don't think this is the case, is it? Right we do need to break some new ground - if at least tweaking or experimenting with some model in a new way. > The areas I am particularly interested in are numerical methods in FX > or Credit Derivatives markets. >>Which are two areas in which QuantLib is utterly lacking. See how >>everything fit together neatly? :) Nice, the other model I am intersted in looking at is HJM/BGM - I think Would also be useful for QuantLib. >>Good luck, >> Luigi Thanks - I need it. Dan ------------------------------------------------------- This SF.Net email is sponsored by: IBM Linux Tutorials Free Linux tutorial presented by Daniel Robbins, President and CEO of GenToo technologies. Learn everything from fundamentals to system administration.http://ads.osdn.com/?ad_id=1470&alloc_id=3638&op=click _______________________________________________ Quantlib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
RE: Masters Dissertations
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Hi Daniel
>I am currently looking for dissertation topics in Mathematical >Finance ... I would like to develop accompanying code as part of >quantlib for whatever work I do. great! I love your attitude: you're welcome. Niels Sønderby and Sad Rejeb did the same for their dissertations. You've got Niels' feedback, Sad might consider to un-lurk and provide you with his own feedback :-) > > maybe there are areas on the Quantlib todo list I could make a > > dissertation out of? > > >>I doubt it. The todo list is more concerned with implementing existing > >>literature than with breaking new ground. Unless you can focus your > >>thesis on implementation, but I don't think this is the case, is it? > >Right we do need to break some new ground - if at least >tweaking or experimenting with some model in a new way. the main difference is between a) using the current QuantLib code base plus few extensions to crunch out the numbers of your thesis or b) designing part of the QuantLib framework. > > The areas I am particularly interested in are numerical methods in FX > > or Credit Derivatives markets. > > >>Which are two areas in which QuantLib is utterly lacking. See how > >>everything fit together neatly? :) > >Nice, the other model I am intersted in looking at is HJM/BGM - I think >Would also be useful for QuantLib. to build an HJM/BGM framework in the current QuantLib code base is a large task and you should not embark on it unless you have plenty of time and confidence. You might end up spending 95% of your time building the framework and only 5% "tweaking or experimenting with it in a new way". If this is OK with you, that's perfect for QuantLib :-) I look forward to your contribution: larger or smaller it is welcome. ciao -- Nando |
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