Preferred project for Quant Role

Finance
1

Hi All,

I am trying to make a transition towards to a quant role and need to complete a project as part of the masters program

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

2

Hi,

Thanks for posting.

I wouldn’t get too worried about using specific techniques and making sure they are applicable in the real world.

I would focus on what you will enjoy and in turn succeed at.
All places will have established ways of doing stuff, you aren’t going to add anything new, especially as a recent graduate.

If you focus on something that interests you, you will be able to bring it up in an interview and talk about it with passion. That’s what’s more important: curiosity and a love of learning.

If you know how to learn, you can work out how to do anything.

Let me know what you end up doing.

Cheers,

Tino