Re: Masters Dissertations
Posted by
Niels Elken Sønderby on
Apr 05, 2004; 11:32am
URL: http://quantlib.414.s1.nabble.com/Masters-Dissertations-tp2875p2879.html
Message
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
----- Original Message -----
Sent: Monday, April 05, 2004 3:05
PM
Subject: [Quantlib-users] Masters
Dissertations
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