Stochastic Processes in Finance

[Princeton Man]

I'm taking a course next semester as an upper level senior in stochastic processes. I want to ultimately construct a model or apply what i learn to the financial industry. Can anyone please suggest some sort of project I can do that would be worthy of putting on my resume ?

 

[KaiRu]

Create a new R package which would allow other people to use your new model.

 

[amir]

I am not sure if I understand you! but you can start with the Poisson process which is a continuous-time process and end in the jump diffusion model of Merton, in which an additional term is employed in the normal SDE to care about the jumps. You can then code the model and compare it with the black-scholes. This is not however something new as you know; but you can follow the literature and see whats new on these models.

 

[martingaletrader]

hidden markov models or levy distributions.