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Joined: Aug 2021
Posted: 2021-08-29 03:28
I am teaching a graduate level Computational Finance course. The course is in a Financial Engineering program and covers the basic numerical procedures in pricing and hedging of derivatives: tree-based methods, Monte Carlo methods, and numerical solutions to PDEs.

I want to include a project which gives the students exposure to something they are interested in, and most importantly, something they can put on their resume and talk about in job interviews. I am a mathematician by training and most of my knowledge comes from textbooks. Do you have any good project suggestions?

Some rough ideas are:

-Monte Carlo methods for American options? (the course does not cover any early exercise features)

-Something related to simulation of "jump processes"? (the course does not cover jump processes like Hawkes processes which are used a lot in trading applications)

-Downloading and analyzing high-frequency trading data?

-Are there interesting ideas related to risk management?
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