{"id":13600,"date":"2023-01-01T00:00:00","date_gmt":"2023-01-01T08:00:00","guid":{"rendered":"https:\/\/www.hmc.edu\/clinic\/?p=13600"},"modified":"2023-05-15T09:29:24","modified_gmt":"2023-05-15T16:29:24","slug":"numerical-integration-of-parabolic-pdes","status":"publish","type":"post","link":"https:\/\/www.hmc.edu\/clinic\/2023\/numerical-integration-of-parabolic-pdes\/","title":{"rendered":"Numerical Integration of Parabolic PDEs"},"content":{"rendered":"<h2 class=\"project-sponsor-dept-year\"><span class=\"project-sponsor\">IMC Trading<\/span> <span class=\"project-dept-year\">Mathematics, 2022\u201323<\/span><\/h2>\n<div class=\"project-team\">\n<p><strong>Liaison(s):<\/strong> Jonathan Ross, Marquis Wong \u201911<br \/>\n<strong>Advisor(s):<\/strong> Weiqing Gu<br \/>\n<strong>Students(s):<\/strong> Myles Fabre, Jordan Hunt, Sidhant Rastogi (PM), Tarush Sharma, Hector Tierno<\/p>\n<\/div>\n<div class=\"project-abstract\">\n<p>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.<\/p>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>IMC Trading Mathematics, 2022\u201323 Liaison(s): Jonathan Ross, Marquis Wong \u201911 Advisor(s): Weiqing Gu Students(s): Myles Fabre, Jordan Hunt, Sidhant Rastogi [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[185],"tags":[694],"class_list":["post-13600","post","type-post","status-publish","format-standard","hentry","category-mathematics","tag-imc-trading"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/posts\/13600","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/comments?post=13600"}],"version-history":[{"count":1,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/posts\/13600\/revisions"}],"predecessor-version":[{"id":13664,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/posts\/13600\/revisions\/13664"}],"wp:attachment":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/media?parent=13600"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/categories?post=13600"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/tags?post=13600"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}