How can I find an area of research in quantitative finance appropriate to write a masters thesis on?

J

jdinatale

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I am in the first semester of a MS in mathematics. A requirement for the degree is to write a masters thesis. Here a thesis means writing on a current area of research in finance, but an original contribution is not expected (although encouraged when possible.)

There are no professors at my university who research in quantitative finance. I am allowed to write a thesis on quantitative finance, but I was told that I would have to find the "problem" on my own to research.

So my question is, how can one find an area of quantitative finance or problem to study that is appropriate at this level to write a thesis on?

Also, how does one know what has already been "done"? For instance, I was reading about Fast Fourier Transforms and their relation to finance. I was considering extending the NVIDIA CUDA Fast Fourier Transform Library for finance applications. But I imagine this and many other things have already been tackled already.
 
I suppose standard modus of operandi is to start reading scholarly articles on a certain topic from a few years ago until now and then you'll know where things are at.
 
Daniel Duffy said:
Why a thesis on finance, especially if no profs know it??
Click to expand...

How is it not obvious?

If I go to apply for a job after the MS, I can say to my employer, "Hey look at my experience working on this project."

Or if I apply for a PhD, my letter writers can talk all about my research potential in this area.

It's either that, or write a thesis on algebraic number theory.
 
I've been encouraging people (unsuccessfully) for several years to do a PCA of different yield curves pre and post crisis. Doing the PCA would teach you a lot about eigensystem analysis. You'd also be able to write about hedging efficacy before and after.
 
jdinatale said:
How is it not obvious?

If I go to apply for a job after the MS, I can say to my employer, "Hey look at my experience working on this project."

Or if I apply for a PhD, my letter writers can talk all about my research potential in this area.

It's either that, or write a thesis on algebraic number theory.
Click to expand...
You are doing MS in pure maths? Whish is not the kind of maths needed/used in finance IMHO.

Programming skills are in vogue as well these days.
 
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