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Overview
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.
Key Facts
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 student of the Efficient Pricing of High-Dimensional (multi-assets) European Options (Internship) project from King Abdullah University of Science and Technology (KAUST) 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.
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Visit programme websiteProgramme Structure
- As the main project deliverable, we expect a scientific report (eventually a research manuscript) including a detailed description and analysis of the proposed methodology developed within the course of the internship and providing all numerical experiments to showcase the versatility of the proposed heuristic framework.
- The working environment the student will use should include a GIT repository shared with the project collaborators in which he includes all project-related materials such as progress reports, codes, figures, and important references from the literature to facilitate the supervision task and communicate ideas more effectively.
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
- Application deadline: all year around
Language
English
PTE Academic 62
IELTS 6.5
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- 4.9/5 student rating
Delivered
On Campus
Campus Location
- Thuwal, Saudi Arabia
Disciplines
Applied Mathematics Computer Sciences Computational Mathematics View 3 other Short Courses in Computational Mathematics in Saudi ArabiaExplore more key information
Visit programme websiteWhat students do after studying
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Academic requirements
GPA 3.5
English requirements
PTE Academic 62
IELTS 6.5
Prepare for Your English Test
Cathoven AI IELTS Preparation AI-powered IELTS feedback. Clear, actionable, and tailored to boost your writing & speaking score. No credit card or upfront payment required.
- Trusted by 300k learners
- 98 accuracy using real exam data
- 4.9/5 student rating
Other requirements
General requirements
- Undergraduate students in 3rd year or above and master’s students.
- Minimum GPA: 3.5/4
- Curriculum Vitae (CV)
- Statement of purpose
- Contact details of 3 referees
- Official English language test score
Student Insurance via Studyportals Partner
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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.
Make sure you meet all requirements
Visit programme websiteTuition Fees
Tuition fees are shown in and the most likely applicable fee is shown based on your nationality.
-
International Applies to you
Applies to youNon-residentsFree -
Domestic Applies to you
Applies to youCitizens or residentsFree
Additional Details
- This is a fully-funded internship; it includes tuition, airfare, housing, medical insurance, visa reimbursement and a monthly stipend of $1,000.
Living costs
Thuwal
Saudi Arabia
2270 - 3445 SAR / month
The living costs include the total expenses per month, covering accommodation, public transportation, utilities (electricity, internet), books and groceries.
Funding
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