Hello everyone,
I am a last-year student in a Msc in Finance, major Quant. finance.
It's time for me to worry about the Msc thesis.
At first, I wanted to do something with implied volatility approximation through trading strategies (adding a new trading strategy to the differential equation combining a straddle, Risk Neutral, Butterfly, Term structure to approximate the IV). I have already spoken to my professor, and he gave me already some papers to read. Especially "Is volatility rough?" (J.Gatheral). I have found this paper really interesting, and introduced me to the notion of "Fractional Volatility", something I had never seen during my courses in Advanced derivatives and Applied Numerical Finance.
I have been pretty fascinated by these kind of models, and it seems that there is not a huge and very large literature on them (at least on internet, from what I have found). So, I really would like to do something with that.
My problem is: what could be an interesting topic of research on it?
That is why I'm looking mainly for inspiration, I could do a comparative option pricing (starting with a BS, Local volatility, Stochastic and then Fractional and check the accuracy and differences?) or try to price some particular class of options only with fractional models? (I found an interesting paper about pricing Asian options with fractional volatility), so I might try to price another class of option with them?
As you can see I am still a bit confused, I would be extremely grateful if anyone of us could give me a little hint! for sure, I am going to talk with my professor asap, but in the meanwhile it could be useful to have at least a vague idea about what I would like to do with him.
Thanks!
I am a last-year student in a Msc in Finance, major Quant. finance.
It's time for me to worry about the Msc thesis.
At first, I wanted to do something with implied volatility approximation through trading strategies (adding a new trading strategy to the differential equation combining a straddle, Risk Neutral, Butterfly, Term structure to approximate the IV). I have already spoken to my professor, and he gave me already some papers to read. Especially "Is volatility rough?" (J.Gatheral). I have found this paper really interesting, and introduced me to the notion of "Fractional Volatility", something I had never seen during my courses in Advanced derivatives and Applied Numerical Finance.
I have been pretty fascinated by these kind of models, and it seems that there is not a huge and very large literature on them (at least on internet, from what I have found). So, I really would like to do something with that.
My problem is: what could be an interesting topic of research on it?
That is why I'm looking mainly for inspiration, I could do a comparative option pricing (starting with a BS, Local volatility, Stochastic and then Fractional and check the accuracy and differences?) or try to price some particular class of options only with fractional models? (I found an interesting paper about pricing Asian options with fractional volatility), so I might try to price another class of option with them?
As you can see I am still a bit confused, I would be extremely grateful if anyone of us could give me a little hint! for sure, I am going to talk with my professor asap, but in the meanwhile it could be useful to have at least a vague idea about what I would like to do with him.
Thanks!
