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2
votes
0answers
168 views

Current big topics in quantitative finance for a research paper? [closed]

I am a final year student in quantitative finance. To get my degree, I need to write a research paper (approx. 50 pages) about any quantitative financial topic. After getting my degree I would like ...
13
votes
3answers
510 views

How are prices calculated for commercial/residential mortgage-backed securities?

What is the theoretical/mathematical basis for the valuation of [C]MBS and other structured finance products? Is the methodology mostly consistent across different products?
1
vote
0answers
15 views

Just how transparent are CDOs?

Not sure if this belongs here on on money SE. Just how transparent are CDOs? Would the ultimate investor have insight into the underlying collaterals or just an overall tranche rating? Has ...
3
votes
2answers
403 views

Where can I find exercises on building a project finance spreadsheet?

I'm looking for a set of exercises that teach how to build a project finance spreadsheet. I accept there may be no typical project finance, but there are a lot of principles are shared in common ...
9
votes
1answer
803 views

What SABR $\beta$ to use for EURIBOR swaption smiles

I am currently wrapping up my thesis. My final chapter is on applying the SABR model model for pricing purposes. I am valuing a constant maturity swap by replicating its value using plain vanille ...