Project ideas for a Computational Finance course

[cf_course]

I am teaching a graduate level Computational Finance course. The course is in a Financial Engineering program and covers the basic numerical procedures in pricing and hedging of derivatives: tree-based methods, Monte Carlo methods, and numerical solutions to PDEs.

I want to include a project which gives the students exposure to something they are interested in, and most importantly, something they can put on their resume and talk about in job interviews. I am a mathematician by training and most of my knowledge comes from textbooks. Do you have any good project suggestions?

Some rough ideas are:
-Monte Carlo methods for American options? (the course does not cover any early exercise features)
-Something related to simulation of "jump processes"? (the course does not cover jump processes like Hawkes processes which are used a lot in trading applications)
-Downloading and analyzing high-frequency trading data?
-Something interesting related to risk management?

 

[Daniel Duffy]

You could start by basing the course on my numerous books in this area. www.datasim.nl
BTW my PDE book will soon be published.

I have lots of project suggestions. To date, I have been external supervisor for roughly 40 MSc thesis for UK/US universities.

Thalesian Webinar: Daniel J. Duffy: PDEs and FDM for Computational Finance

25 August 2021 https://www.linkedin.com/events/6833423790865715200/ Thalesians Partial Differential Equations (PDEs) and Finite Difference Method (FDM) for Computational Finance Daniel J. Duffy, Datasim In this talk we give an overview of the numerical solution of PDEs using finite...

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