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@ChrisN, You are right... it might be hard to publish something completely on your own to begin with... once you have some experience... you can then definitely think about doing that...


So... what's the solution?


First... figure out which topic(s) you are mostly interested in... let's say... "Volatility Modeling"...


Now...


1) Either try to go to some conference where there are a lot of professors and/or people from the industry who are heavily involved in publishing articles in "Volatility Modeling"...


OR


2) Contact someone working in that field directly and ask for ~ 15-30 minutes of his/her time...


During your meeting, show you true interest and portray your skills that are well-suited for that research work... describe what you can bring to the table so that (s)he would be interested in advising you... make sure you have read some of that person's paper prior to the meeting... 


GOOD LUCK~!


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