you can do a term structure model for SOFR and use it to price some SOFR indexed MBS with monte carlo
SureCan you please suggest some topics?
Calibrating the SABR model using ML with computational efficiency seems a very good problemSure
ML and computational finance is also a hot topic and could be a good source.
Two very good theses here 1) ML for SABR, 2) computing option sensitivities.
Calibrating the SABR model using ML with computational efficiency seems a very good problem
Is your thesis public domain? I have a number of questions regarding McGhee's that I was unable to get an answer to.
An Artificial Neural Network Representation of the SABR Stochastic Volatility Model by William A McGhee :: SSRNIn this article, the Universal Approximation Theorem of Artificial Neural Networks (ANNs) is applied to the SABR stochastic volatility model in order to construpapers.ssrn.com
I used This papir in my theiss. I Will definitely recommend this topic