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The way to apply for VSRP internship is to apply via a project below. We have over 100 projects spanning 16 STEM disciplines, and each project has its own 'Apply' button. Each project is 3 - 6 months long and includes airfares, flights, housing, health insurance and a monthly stipend.

You'll be able to work directly with leading researchers in our state-of-the-art laboratories. We're open to applications from motivated students looking to make an impact on the world. If that sounds like you, find a project below that interests you and continue your journey at KAUST!

New research projects have been added in the following areas:

Cybersecurity
Environmental Science and Engineering
Earth Science and Engineering
Computer Science
Applied Mathematics and Computational Science

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CURRENT PROJECTS

Multilevel and Unbiased Monte Carlo Methods for Option Pricing

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Project Description

This project will focus on the numerical estimation of financial options. The latter are contracts associated to financial objects such as stocks, which can be mathematically expressed as expectations with respect to a diffusion process. In this project, we will develop Monte Carlo methods which can provide numerical estimates of these option prices, which are not available in closed forms. In particular, the diffusion processes will have to be time-discretized and we will use advanced multilevel and unbiased techniques to provide estimates sometimes with no time-discretization error.

Program - Applied Mathematics and Computer Science

Division - Computer, Electrical and Mathematical Sciences and Engineering

Field of Study - Computational and Numerical Methods

About the
Researcher

Ajay Jasra

Professor, Applied Mathematics and Computational Science

Professor Jasra's research interests are in the development, analysis and application of Monte Carlo algorithms for problems in Bayesian Statistics, uncertainty quantification and computational finance. He has several interests in applied probability, including Markov chains and interacting particle systems. He has also worked on stochastic control problems and filtering (data assimilation).

Desired Project Deliverables

Implementation and development of algorithms