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Overview
About the project
The student will work on designing new numerical methods based on hierarchical adaptive sparse grids quadratures combined with Fourier techniques for efficient pricing of high-dimensional (multi-assets) European Options.
Specifically, the student will contemplate the possibility of finding a heuristic framework for an optimal choice of the integration contour (damping parameter) which controls the analyticity of the integrand in the Fourier space and hence accelerate the performance of the quadrature methods.
He will also develop a systematic comparison between hierarchical deterministic quadrature methods, Tensor Product (TP) quadrature, Smolyak (SM) Sparse Grids quadrature, and Adaptive Sparse Grids (ASG) quadrature to numerically evaluate the option price under different pricing dynamics, Geometric Brownian Motion (GBM), Variance Gamma (VG) and Normal Inverse Gaussian (NIG) for different multi-asset payoff functions such as Basket Call/Put and Rainbow options.
The Efficient Pricing of High-dimensional (Multi-assets) European Options (Internship) project is offered at King Abdullah University of Science and Technology (KAUST) .
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Visit programme websiteProgramme Structure
- The student is also asked to elaborate a comparison in terms of computational complexity against the quadrature methods for different dimensions, and various combination of parameter sets within the mentioned pricing models.
Check out the full curriculum
Visit programme websiteKey information
Duration
- Part-time
- 3 months
Start dates & application deadlines
You can apply for and start this programme anytime.
More details
Students can choose their own start and end dates as the program runs across the year
Language
English
TOEFL® IBT 79
Delivered
On Campus
Disciplines
Mathematics Computer Sciences View 52 other Short Courses in Computer Sciences in Saudi ArabiaExplore more key information
Visit programme websiteAcademic requirements
GPA 3.5
English requirements
TOEFL® IBT 79
Student insurance
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- Additional medical costs (i.e. dental)
- Repatriation, if something happens to you or your family
- Liability
- Home contents and baggage
- Accidents
- Legal aid
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Remember, countries and universities may have specific insurance requirements. To learn more about how student insurance work at King Abdullah University of Science and Technology (KAUST) and/or in Saudi Arabia, please visit Student Insurance Portal.
Other requirements
General requirements
- Official Transcript(s) in English from current and previous institutions
- Letter of Recommendation from faculty member in field of study
- Valid Passport(with six months validity)
- CV - Summary of your career, qualifications and education.
- Statement of Purpose-Explain your motivation to become a VSRP intern
Make sure you meet all requirements
Visit programme websiteTuition Fee
To always see correct tuition fees
-
International
FreeTuition FeeBased on the tuition of 0 SAR per year during 3 months. -
National
FreeTuition FeeBased on the tuition of 0 SAR per year during 3 months.
This is a fully-funded internship; it includes tuition, airfare, housing, medical insurance, visa reimbursement and a monthly stipend of $1,000.
Living costs for Thuwal
2270 - 3445 SAR /month
Living costs
The living costs include the total expenses per month, covering accommodation, public transportation, utilities (electricity, internet), books and groceries.
Funding
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