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Master's Thesis topics in quantitative finance?

ItosLemma

Member
Hi all,

Starting to conduct my master's thesis in the spring of 2019. My background is in MSc Finance (afer the thesis), with minor in computer science. So I have some experience in math and programming and quantitative finance (couple of courses), however consider myself as a beginner in this field. My goal would be to learn as much as possible by doing my thesis, however it would be nice if it would have some scientific value at the same time.

Any ideas, what would be a suitable topic for someone interested in quantitative finance?

Would it be wise to examine some phenomenom in financial markets with the tools of mathematical finance? Or how should one approach this?

Thanks in advance for any help!
 

Daniel Duffy

C++ author, trainer
What about a thesis based on AD and greeks?


@antoinesavine
 

Aber

Active Member
What about volatility models. I think they make nice thesis topics. Do you know SABR and/or Heston?
Here you can combine theory of mathematics, such as stochastic processes, with computational/numerical mathematics by calibrating the models to real lige market data.
 

Daniel Duffy

C++ author, trainer
What about volatility models. I think they make nice thesis topics. Do you know SABR and/or Heston?
Here you can combine theory of mathematics, such as stochastic processes, with computational/numerical mathematics by calibrating the models to real lige market data.
Big topics and lots of hard maths and finance (IMO). How long does a thesis last? How strong is your maths?
 

ItosLemma

Member
Big topics and lots of hard maths and finance (IMO). How long does a thesis last? How strong is your maths?

Its OK, I think. Since it is "only" Masters thesis, I can probably learn the concepts pretty easy if they are not the most complex ones in math.

Greeks and Volatility modelling sound like a fair topics, thanks for suggestions. What kind of examples could one use with these? Which would have value itself, i.e. solving some issue or finding a trend or indicator that would have scientific value?

I suppose I could use any of the financial mathematic concepts (Monte Carlo, Itos Lemma, exotic options etc.) and just apply that to real market data and draw some conclusions?

Or how do you people see it?
 

ItosLemma

Member
"Master's Thesis topics in quantitative finance?"
why not HFT?

HFT and algorithmic trading are also good options. How would you, in practise, recommend to do that? Investigate a certain period in certain market or find estimates how it will develop in the future? How would I make such topic quantiative/mathematical?
 

ItosLemma

Member
And where could I get inspiration for Thesis topics? Is there any library for this field theses or some journals? Journal of finance surely has some, but not that mathematical usually.
 

Ken Abbott

Managing Director
Among the topics I've supervised or am supervising now:
VaR vs ES for different portfolios
Survey of retail finance markets and models
Survey of commodities markets
The multivariate and time series structure of the US yield curve 1962-2018
The multivariate and time series structure of foreign exchange markets
CCAR and SCAP stress testing models
Bikeshare data analysis
Analysis of weather data

The latter two are obviously not finance-related but come with huge, free datasets ripe for analysis.
What school?
 

P. Carr

Active Member
Ken, thanks for sharing the long list of topics you are supervising. My list is shorter but here goes:
  1. new vol index called SPIKES constructed in the same way as VIX but using American style options on the SPY ETF
  2. risk measures for writing real day options (google it), a forward starting option on SPX with strike fixed for just one day
  3. a new stochastic vol model which extends Heston to quadratic drift chosen to bound the instantaneous variance rate
  4. applying multilinear algebra to PCA of yield curves so as to add dimensions to term, eg country, credit rating, compounding frequency
 

Joy Pathak

Swaptionz
Nice topics Ken.

here are some more addtion and a bit more topical currently:

What drives FRA-OIS spread.
Survey of US repo markets
how does the fed policy affect the US real curve
Survey of business cycles and what real yields usually cause the turn around given slope of the curve of those yccles
Driver of long end swap spreads (this one is a fun one if u compare 10yr and 30yr swap spreads )
Ways to hedge short end tips (another high value project)

so many good topics to write about. makes me want to go into a research based grad program sometimes.
 

Ken Abbott

Managing Director
Nice topics Ken.

here are some more addtion and a bit more topical currently:

What drives FRA-OIS spread.
Survey of US repo markets
how does the fed policy affect the US real curve
Survey of business cycles and what real yields usually cause the turn around given slope of the curve of those yccles
Driver of long end swap spreads (this one is a fun one if u compare 10yr and 30yr swap spreads )
Ways to hedge short end tips (another high value project)

so many good topics to write about. makes me want to go into a research based grad program sometimes.
I like yours better than mine.
 

longgamma

Well-Known Member
C++
How about correct pricing of collateral based on myriad regulations (basel 3, nsfr, lcr etc) and whats the best positioning for a broker dealer in US?Balance sheet is a big constraint among all major banks and if anyone can provide good clarity on the most optimum use of collateral, then they got a job for sure!
 
Hi, I am a final year undergraduate student. I am currently searching for a topic for my thesis. I am interested in stochastic processes, probability theory, statistics and computation. My proficiency in these areas is on an intermediate level. Can someone please suggest me some topics in quantitative finance which I can work on as my thesis?
 

Aber

Active Member
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