Posted by
daniel saitowitz on
Apr 13, 2004; 4:03am
URL: http://quantlib.414.s1.nabble.com/Masters-Dissertations-tp2875p2877.html
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
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