I am in a research based course this upcoming semester and I would really like to focus my research on some quant finance topic. I have access to my schools cluster and many cluster across the country, most with high powered GPUs, so I would like to incorporate high performance computing, parallelization, etc.
problems: I have 6 courses and 2 jobs next semester so time will be a huge constraint, most likely be able to devote 5-10 hours a week on the research, maybe more, maybe less. Also I will be taking diffy q and numerical analysis this semester, and pde's next so my math knowledge might constrain me, however, I am up to the challenge of teaching myself the material needed.
I would really like to get some brainstormed ideas that will 1.) greatly increase my knowledge and experience in comp. finance and 2.) impress the mfe app. committees, as I plan on getting into the best mfe I can(from a low, low tier school). Any ideas/advice would be greatly appreciated.
p.s. have already gotten an idea from a quant about the Least Squares Monte carlo method and how to best utilize GPUs for the method, but I am very open to other interesting ideas.
problems: I have 6 courses and 2 jobs next semester so time will be a huge constraint, most likely be able to devote 5-10 hours a week on the research, maybe more, maybe less. Also I will be taking diffy q and numerical analysis this semester, and pde's next so my math knowledge might constrain me, however, I am up to the challenge of teaching myself the material needed.
I would really like to get some brainstormed ideas that will 1.) greatly increase my knowledge and experience in comp. finance and 2.) impress the mfe app. committees, as I plan on getting into the best mfe I can(from a low, low tier school). Any ideas/advice would be greatly appreciated.
p.s. have already gotten an idea from a quant about the Least Squares Monte carlo method and how to best utilize GPUs for the method, but I am very open to other interesting ideas.
