Scientific Seminars (Ecole Centrale Paris) 2009-2010

Monte Carlo Go Program (Scientific Seminar 2009-2010)

Create a Go program on GPU. This program will be based on the program which is currently world champion.

Designing a Trading Robot that Implements Derivatives Strategies on the Market

This project for third-year Applied Mathematics students of ECP is about creating a series of trading robots that will trade different strategies that exist in a trading room. For confidentiality reasons, we can not mention them here, however, the aim will be to understand the quintessence of each trading style in the derivatives universe and create a robot that mimicks the trading style of a human trader. Trading strategies covered will include merger arbitrage, volatility trading and other strategies. Download pdf for detailed offer.

Designing a Trading Robot that Trades Futures on Volatility

A new asset class within the world of financial derivatives has recently emerged a decade ago: volatility itself as well as options on volatility. Pricing such esoteric instruments requires a knowledge of the kurtosis of the distribution curve, which is a difficult information to obtain. It also requires the advent of models which take into account jumps in the distribution of asset prices such as variance-gamma or Heston models. This project is a challenging and fascinating one: ECP students will try and create a robot that will trade and arbitrage the futures on volatility market. Download pdf file for details.