求：金融工程博士毕业论文研究方向（与利率有关的）

10# jumboichigo
I have read some papers of piterbarg, which one do u mean? thx in advance

Towards a multi-stochastic volatility model for CMS spread exotics. ICBI's Global Derivatives Conference, Paris 2006.
Quadratic Gaussian models for CMS spread options. ICBI's Global Derivatives Conference, Rome 2009

anybody implemented those models in production? how stable are the model parameters?

second one yes... the first one i m not sure...

感觉公司债最近比较火啊
公司债期限结构和信用风险应该有点搞头
或者ABS,现在银行对这个的需求比较大,资本金吃紧啊

13# irvingy
have implemented, the stability of greeks is most challenging

12# jumboichigo
thx a lot

16# kenan0929

u mean some banks uses two or more stochastic volatility factors?

18# jumboichigo
dont know which models banks are using. I dont consider vol smile in my model.

15# bn9492
I agree with u specially for ABS, are u a participant in the industry?