Numerical Integration of Parabolic PDEs

IMC Trading Mathematics, 2022–23

Liaison(s): Jonathan Ross, Marquis Wong ’11
Advisor(s): Weiqing Gu
Students(s): Myles Fabre, Jordan Hunt, Sidhant Rastogi (PM), Tarush Sharma, Hector Tierno

IMC Trading is a proprietary trading firm and market maker for various financial instruments listed on exchanges throughout the world. IMC would like to improve the performance and accuracy of their model for determining the price of options. Their current method employs a finite difference method to numerically approximate the analytical solution to the Black-Scholes parabolic PDE. The team designed an adaptive mesh algorithm to reduce the computational effort required to achieve the same accuracy.