- Joined
- 3/27/11
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- 13
So, I am currently contemplating writing my bachelor thesis on one of the two subjects below. The problem with those are, that they are originally supposed to be Master thesis subjects and aren’t very easy. I think they are interesting and would be challenging, but I have to keep in mind that my grade might suffer because of this or that the topic is too difficult for me.
Both topics are based on Bakshi, G., Cao, C., and Chen, Z. (1997). Empirical performance of alternative option pricingmodels. Journal of Finance, 52(5):2003-2049.
I wouldn’t have to come up with the math behind both subjects, but I would obviously need to understand it. Then I would need to code it and look at the results.
I am a Bachelor student who can code VBA, and got limited in experience in other languages, but I just haven’t needed them yet.
I had an introductory class to stochastic fundamentals in financial math. We basically covered 3 ways of deriving Black Scholes, including Ito’s Lemma and had some other stuff, but nothing too deep.
If someone could tell me what I should do, it would be helpful.
Here are the two subjects:
Subject 1:
Description:
The goal of this thesis is to analyze the stability of estimated parameters of different stochastic volatility models. The analysis shall be conducted under the risk-neutral measure based on a time-series (or panel) data set of S&P500 index options.
Research questions as "Global vs. local optimizer?", "Impact of different market regimes?", etc. should be addressed in this thesis.
Requirements:
Intermediate programming skills (VBA, Matlab, C/C++ and the like).
I would use VBA, because I am not too familiar with the rest.
Data is available.
Literature:
Bakshi, G., Cao, C., and Chen, Z. (1997). Empirical performance of alternative option pricingmodels. Journal of Finance, 52(5):2003-2049.
Eraker, B., Johannes, M., and Polson, N. (2003). The Impact of Jumps in Volatility and Returns. Journal of Finance, 58(3):1269-1300.
Subject 2:
Description
The goal of this thesis is to analyze the effect of the loss function specification in calibrating option pricing models. The analysis shall be conducted under the risk-neutral measure based on a cross-section (or panel) data set of S&P500 index options.
Research questions as "Calibrating option prices ($) vs. implied volatilities (IV)?", "What are the differences of the loss functions $RMSE, %RMSE and IVRMSE empirically?", etc. should be addressed in this thesis.
Requirements
Intermediate programming skills (VBA, Matlab, C/C++ and the like).
Again, I would use VBA.
Data is available.
Literature:
Bakshi, G., Cao, C., and Chen, Z. (1997). Empirical performance of alternative option pricingmodels. Journal of Finance, 52(5):2003-2049.
Rough, F. D., and Vainberg, G. (2007). Option Pricing Models and Volatility Using Excel-VBA. John Wiley & Sons, New Jersey, 283-293.
If there are questions, just ask them, I try to answer as soon as possible.
Both topics are based on Bakshi, G., Cao, C., and Chen, Z. (1997). Empirical performance of alternative option pricingmodels. Journal of Finance, 52(5):2003-2049.
I wouldn’t have to come up with the math behind both subjects, but I would obviously need to understand it. Then I would need to code it and look at the results.
I am a Bachelor student who can code VBA, and got limited in experience in other languages, but I just haven’t needed them yet.
I had an introductory class to stochastic fundamentals in financial math. We basically covered 3 ways of deriving Black Scholes, including Ito’s Lemma and had some other stuff, but nothing too deep.
If someone could tell me what I should do, it would be helpful.
Here are the two subjects:
Subject 1:
Description:
The goal of this thesis is to analyze the stability of estimated parameters of different stochastic volatility models. The analysis shall be conducted under the risk-neutral measure based on a time-series (or panel) data set of S&P500 index options.
Research questions as "Global vs. local optimizer?", "Impact of different market regimes?", etc. should be addressed in this thesis.
Requirements:
Intermediate programming skills (VBA, Matlab, C/C++ and the like).
I would use VBA, because I am not too familiar with the rest.
Data is available.
Literature:
Bakshi, G., Cao, C., and Chen, Z. (1997). Empirical performance of alternative option pricingmodels. Journal of Finance, 52(5):2003-2049.
Eraker, B., Johannes, M., and Polson, N. (2003). The Impact of Jumps in Volatility and Returns. Journal of Finance, 58(3):1269-1300.
Subject 2:
Description
The goal of this thesis is to analyze the effect of the loss function specification in calibrating option pricing models. The analysis shall be conducted under the risk-neutral measure based on a cross-section (or panel) data set of S&P500 index options.
Research questions as "Calibrating option prices ($) vs. implied volatilities (IV)?", "What are the differences of the loss functions $RMSE, %RMSE and IVRMSE empirically?", etc. should be addressed in this thesis.
Requirements
Intermediate programming skills (VBA, Matlab, C/C++ and the like).
Again, I would use VBA.
Data is available.
Literature:
Bakshi, G., Cao, C., and Chen, Z. (1997). Empirical performance of alternative option pricingmodels. Journal of Finance, 52(5):2003-2049.
Rough, F. D., and Vainberg, G. (2007). Option Pricing Models and Volatility Using Excel-VBA. John Wiley & Sons, New Jersey, 283-293.
If there are questions, just ask them, I try to answer as soon as possible.
