Undergraduate Project

[CChow]

Hi all,

I'm going to be starting a undergrad project, preferably in the area of finance, but don't really have an idea or "problem" that I am trying to pursue. I have background in probability, statistics, calculus, linear algebra and a little bit of stochastic calculus. All suggestions are welcome.

Thanks!!

 

[Dwsmith]

Eigenfunction expansion of the Heat Equation.

 

[CChow]

Sorry, I should have specified that I would prefer to do it in an area of finance. Heat equation is a great suggestion though, thank you very much.

 

[euroazn]

How about calculating various levels of market efficiency? This would probably be more stats though.

 

[boneil]

hedge fund beta replication

 

[Dwsmith]

Sorry, I should have specified that I would prefer to do it in an area of finance. Heat equation is a great suggestion though, thank you very much.

The Heat Equation is the under pinning of Black Scholes

 

[chjatlanta]

I am too a Master in Statistics hoping to get a job in finance area . Right now I am trying to figure my possible thesis topic. I am thinking of some work in Markov-switch regime frame work applied to GARCH model. Anyone has other suggestions? Or is it possible to get a headhunter and ask about his opinion?

 

[Ken Abbott]

Do PCA on returns to the points on the yield curve, pre-crisis and post. Different currencies. Zero and coupon curves. Risk free vs spreads. Fixed income vs oil, NG, and power curves. How different from each other? How changed?

 

[Sanket Patel]

Or is it possible to get a headhunter and ask about his opinion?

Instead, why not research something you find interesting?