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What are features and examples of computational finance (financial computing) problems (for thesis project in Master in Computer Science)? Is it possible to defend Computer Science master thesis by writing project about quantitative finance? As far as I have read articles in arxiv.org Computational Finance part, then most of them is about numerical methods and they are more relevant to mathematics than computer science. What can be good theme for the project?

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    $\begingroup$ I'd you could make an extremely fast montecarlo, or efficient high dimension pde solver, that would be of great use. But that would be the same for any field that uses the techniques, and I also think possibly a bit beyond a masters thesis. $\endgroup$ – will Jun 20 '16 at 20:38
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    $\begingroup$ I beleve this will be up to your supervisor. $\endgroup$ – Gordon Jun 21 '16 at 13:18
  • $\begingroup$ I agree with Gordon. Choosing a project your thesis advisor is interested in is usually a good idea, so contact your thesis advisor. $\endgroup$ – Mathias Körner Jun 22 '16 at 20:35
  • $\begingroup$ I have no faculty member that is interested in financial engineering in my department, therefore I should seek someone from the outside (I can't imagine motivation why someone outside would be interested to advise) or I should do it on my own and get someone from my department to formally advise my thesis. $\endgroup$ – TomR Jun 23 '16 at 10:09
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My CS master was: Investment recommendations generated using prediction models based on regression in time series

Description: The purpose of this paper is to present the environment for generating investment recommendations from predictive models based on regression and evaluating their performance using machine learning techniques on historical high frequency data obtained from the foreign exchange market.

The work also can find basic information about trading platforms, simulation environments and scientific information related to techniques, models and algorithms used in the work or forming an alternative or expansion for solutions applied.

Probably can't post it on arxiv.org because it was not in English language.

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You could focus on the algorithms used to implement the numerical methods.

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This mostly depends on the regulations of the institution that is issuing a degree. I have been mentoring myself several CS master theses focused on Computational Finance, mainly related to solving high-dimensional option pricing problems using Radial Basis Function approximations. Therefore, it is possible.

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My CS master was: "Option Pricing through differential Equations".

It had mostly focused on the numerical algorithms used to pricing and their accuracy/speed.

I doubt you would have any issue defending your thesis if you pick something similar...

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