Hello everybody,I'm French and I'm doing a Master in derivatives for this year. I don't know if in US this is the same, but in France, the obtening of this diploma is subordinate to a research paper.I'm looking for a subject for this paper. I already did an internship in dealing room, and I'll certanly do an other (during 6M) this next "summer". So this subject must be theorical but it has to be in agreement with the needs of Traders. More exactly, I'm looking for a subject concerning volatility. I know this kind of subject is huge... The perfect one will be an undeeply theorical subject to be keeping with pratice work, and preferably in a field which hasn't been to much explored.Thanks in advance for your replies,The Fates.

I'm looking for a subject for this paper. >>Isn't this what your thesis supervisor is supposed to do? or at least to be done in discussion with him/her? I'm just curious how things work in France.

There are many practical problems in estimation and prediction of volatility. Since you are looking for "undeeply theoretical" work, the easiest thing is to take an existing paper and apply it to a new market.