PDE research for Master Thesis

[Megatron]

Hi,
I'm wondering if I can get some of your thoughts on some useful areas of research in finance using PDEs, for my master thesis. Thanks for your insights.

Kind Regards,
Jason

 

[Daniel Duffy]

That's like saying: what kind of speedboat should I buy.

 

[Megatron]

Well... both would be useful questions, as you may know something about speedboats I hadn't considered I'm just looking for some additional perspectives, for brain storming purposes. I'm not looking to have my topic chosen for me. Thanks.

 

[Daniel Duffy]

Well... both would be useful questions, as you may know something about speedboats I hadn't considered I'm just looking for some additional perspectives, for brain storming purposes. I'm not looking to have my topic chosen for me. Thanks.

Traditionally, Monte Carlo and Lattice models are popular with quants.

PDE/FDM/FEM methods are not so well known. There's lots of challenges/opportunities. What are your queries?

I'm just looking for some additional perspectives,

I think I missed your current perspectives in the posts, which would avoid my posting stuff you already know.

 

[Daniel Duffy]

One perspective (from a numerical analysis viewpoint) is to investigate modern FD methods applied to equity and IR, i.e. there is more to life than Crank Nicolson and ADI. And nonlinear PDE.