Modelling and evaluating of derivatives

I don’t know if that is allowed but away from the CFA, I’m doing my Finance MSc now and I need to come up with the dissertation topic now. I know that I want to do it about modelling and evaluating of derivatives. And since I don’t have any hands on experience, could you please suggest some ideas I could search on from real world? Thanks Danah

Are you comfortable with Black-Scholes?

yes and I think I’m good with math too, but I still have to learn C++

Credit derivatives or equity derivatives?

Try to do something with Black Scholes model and those greeks + volatility (VIX, etc…).

ShouldBeWorking Wrote: ------------------------------------------------------- > Credit derivatives or equity derivatives? commodity derivatives

Delta hedging

the use if indexes to mark/hedge complex products or active vs. passive pricing of the underlying

i’d say modelling convertibles. it has all the fun stuff tied into one security: credit duration, interest rate duration, volatility, convexity, + all your greeks, delta, vega, gamma, rho, and even throws in underlying dividend yield. the convertible structure continues to evolve including hypers, net share settlement, dividend protection, COCO, COPAY, takeover proctection. let me know if you need more info.

real world pricing

what ConvertArb said