Open questions....?

Maddogg · March 13th, 2005, 2:29 pm

Hi,I'm going to make Ph.D in financial mathematic, especially in interest rate modeling. Can anyone write me what is the most demanding problem in this field to solve now. I'm looking for open questions to work on. TIAKonrad

ckarakus · March 14th, 2005, 10:21 am

Find a closed-form solution for BS PDE.

JojoLeBarjo · March 15th, 2005, 1:56 pm

My question which can be a closed one would be :Usually a riskfree world and a historic one. How to link them ?

eiriamjh · March 24th, 2005, 9:55 am

QuoteOriginally posted by: MaddoggHi,I'm going to make Ph.D in financial mathematic, especially in interest rate modeling. Can anyone write me what is the most demanding problem in this field to solve now. I'm looking for open questions to work on. TIAKonradThe most demanding problem in finance is to find ways to make money consistently. The amount of sophistication you employ to get there is fairly irrelevant - but admittedly the more sophisticated your money-making strategy, the less likely it has already been found.e.

exotiq · March 24th, 2005, 5:59 pm

See the FAQ thread on the most important unsolved problems in finance.

alex07078 · March 28th, 2005, 1:15 am

How hedging MBS amplifies interest rate movement.

txa45 · March 31st, 2005, 5:49 pm

see http://www.ny.frb.org/research/economis ... qr19_2.pdf