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- 6/11/24
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Hi All,
I am trying to make a transition towards to a quant role and currently doing a masters in financial mathematics
I have shortlisted these 4 projects to get me better insight into the quant world. I can only choose one.
----Using Fourier Transform to solve PDEs generated for option pricing.
(Its an interesting one as it allows me to compare methods between fast Fourier Transform, Fourier space time-stepping and Fourier-cosine series, a bit similar to the kind of model comparison work quant industry practitioners do)
-----Stock diffusion method using Kou jump-diffusion model
(Personally not very interested in this topic as most of work will be around pricing exotic options and I am not sure how much they are applicable in Financial Industry based in London)
-----Stock diffusion method using constant elasticity of variance model
(Again not sure about how applicable in this current industry)
-----Using alternating direction implicit (ADI) to solve PDEs generated for option pricing
(Again sounds like a interesting topic but a bit concerned on the complexity of this topic / code implementation side . Also not sure about how much ADI method is currently used within the industry.)
I am aware that depending on the accuracy and time requirements , methods change from banks to option trading desks, but I wanted to gain some insight into which of the above projects will provide the closest experience to a real life quant role. Any suggestions will be greatly appreciated. Thanks #options #finance #trading #modelling #optionpricing #financialmathematics #blackscholes
I am trying to make a transition towards to a quant role and currently doing a masters in financial mathematics
I have shortlisted these 4 projects to get me better insight into the quant world. I can only choose one.
----Using Fourier Transform to solve PDEs generated for option pricing.
(Its an interesting one as it allows me to compare methods between fast Fourier Transform, Fourier space time-stepping and Fourier-cosine series, a bit similar to the kind of model comparison work quant industry practitioners do)
-----Stock diffusion method using Kou jump-diffusion model
(Personally not very interested in this topic as most of work will be around pricing exotic options and I am not sure how much they are applicable in Financial Industry based in London)
-----Stock diffusion method using constant elasticity of variance model
(Again not sure about how applicable in this current industry)
-----Using alternating direction implicit (ADI) to solve PDEs generated for option pricing
(Again sounds like a interesting topic but a bit concerned on the complexity of this topic / code implementation side . Also not sure about how much ADI method is currently used within the industry.)
I am aware that depending on the accuracy and time requirements , methods change from banks to option trading desks, but I wanted to gain some insight into which of the above projects will provide the closest experience to a real life quant role. Any suggestions will be greatly appreciated. Thanks #options #finance #trading #modelling #optionpricing #financialmathematics #blackscholes
