Internship Subject: Parallel Computing and Computational Finance

Equity derivatives pricing and trading requires a massive amount of computation and a fairly good understanding of optimization techniques. Now that we are reaching the limits of the Moore law, a paradigm shift is needed in order to increase computations by orders of magnitude. Parallel computing is one way to solve the problem, but this requires a complete re-thought of the applied mathematics. We are going to study different ways to parallelize well-known algorithms such as gradient descent algorithms and quadratic solvers. Who should apply ? Students from Polytechnique, Ecole Centrale Paris, Mines de Paris, Ecoles des Ponts, Telecom Paris. Internship dates: Dates are flexible starting from Februrary 2010 or later, for 3 to 6 months. email: stages@arbitragis.com

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