thesis topic

[amir]

hi,
1- it may be a stupid question but, putting aside the matter of interest, can anyone suggest me some less theoretical and hot topics in Financial Mathematics for writing a MSc thesis?

2- does anyone know why radial basis function approximation is not so much popular in option pricing? just few people have worked on it
thanks

 

[Andy Nguyen]

Do you want to be a slave for a few months without pay? We ought to be able to find a few people here who can use your help.

 

[amir]

Do you want to be a slave for a few months without pay? We ought to be able to find a few people here who can use your help.

sorry, I didn't get what you mean!

 

[Andy Nguyen]

Instead of find some topics for the sake of doing a thesis, you can get someone to give you a real-world practical problem to work on. You can use that as your thesis. You may have to do mundane tasks like data cleaning, etc but i bet it's several times useful than a theoretical paper but few people ever read.

 

[amir]

do you have any offer?
To be more precise, these are my problems:
1- I'm too much interested so I can't choose a topic; I like almost all ...
2- I haven't decided yet where to go for my phd, bus school or math school! but I'm sure that I don't want to go deep on the math part of the subject.

 

[Andy Nguyen]

do you have any offer?

I don't but I hope someone reading this may contact you directly if there is a something mutually beneficial.

 

[Joy Pathak]

Want to do a project with a hedge fund on finding an algorithm/mathematical system to find the a certain type of synthetic swap? If so... send me a message.

 

[Tsotne]

Hi @amir

Only thing we can suggest must be based on the prospect or usefulness of your thesis not what interests you right?! I'm sure you got the point. I think you are asking it this way:

I'm too much interested so I can't choose a topic; I like almost all

"I have many topics in ming but cannot choose among them in terms of perspective, usefulness, expectation of liking from some audience". Because it's only you who knows what interests you. Are you mainly interested in math based algorithms or you need some economical sides of a topic to be discussed?

 

[amir]

Is there any book or document in which I can see how the subject is organized, ordered and links different courses and topics?

@ Tsotne
I got your point; and what ever I see is nice to follow but not sure about the perspective.
I mostly like to continue at bus school but work on numerical issues. so I don't want to go deep either on the math or on the econ side.
My background is on Stat and I wrote a thesis on volatility modeling, but now I think time series can't trigger my interest.

 

[Tsotne]

Is there any book or document in which I can see how the subject is organized, ordered and links different courses and topics?

@ Tsotne

I got your point; and what ever I see is nice to follow but not sure about the perspective.
I mostly like to continue at bus school but work on numerical issues. so I don't want to go deep either on the math or on the econ side.
My background is on Stat and I wrote a thesis on volatility modeling, but now I think time series can't trigger my interest.

Then quantitative finance is perfect for you since you don't want pure math or pure economics alone. I am in kind similar position. Currently I am writing thesis on CDO pricing using copulas. So learning copulas hard these times. You might also be interested in it since you have a stat background. If this is the case with you, I can give directions, materials, softwares, etc.

 

[amir]

Then quantitative finance is perfect for you since you don't want pure math or pure economics alone. I am in kind similar position. Currently I am writing thesis on CDO pricing using copulas. So learning copulas hard these times. You might also be interested in it since you have a stat background. If this is the case with you, I can give directions, materials, softwares, etc.

yes, I like to know about them

 

[Tsotne]

I'll send you them on mail.

 

[amir]

I'll send you them on mail.

amirstatisATyahoo

 

[Fanyam]

Hi, please I need a real-world practical problem to work on for my PhD in finacial mathematics.

 

[Andy Nguyen]

These projects are recommended by a top practitioner who is Global head of modeling at a BB.

Project number 1: Dynamic replication of an equity option in the binomial model.
Project number 2: Calculate P&L when the wrong vol is used above.
Project number 3: Calculate a CVA using Monte Carlo

For 1 and 2: he recommends Baxter and Rennie.
For 3, he recommends a new book by Damiano Brigo
These projects don't require data.

 

[Fanyam]

Thank you, I will buy the books and read through. If there are other reference materials you let me know so as to purchase them, thanks please.

 

[Fanyam]

Hi, I have Mathematics and Computer Science background and I am currently to write a thesis on "Factor models for assets returns" in order to determine the set of assets that will yield high returns. Please, can someone help me with directions and materials (especially if there is any audio visual on factor models for assets returns). Looking forward for your usual cooperation, Thanks please.

 

[Ken Abbott]

There are a couple of firms that have factor-based algorithms. Try APT (the company) and KMV.

 

[Ronrick Da-ano]

Hi @Andy Nguyen

Is Project 3: Calculate CVA using Monte Carlo still accessible?

 

[Ronald Katende]

Hi, I am currently doing my masters in financial mathematics but would like to do my thesis in applications of pure mathematics to finance. In other words, I want to apply either algebra or number theory to finance that is during my thesis or on my PhD that I am about to embark on. Could any one please suggest some topics/projects for me to consider? I need project that use a lot of mathematics and may be computing and there after a bit of finance. Can such be a visible idea. if yes, please suggest me some beautiful ideas that I could work on (even if you have a mutual interest)