TriOptima is a leader in developing services that monitor and reduce risk in the financial services industry. Our ever-changing scope of services places high demands on our technology and quant teams who are known for delivering award-winning tools. We are the global market leader in portfolio compression, initial margin optimization and advanced, service-based calculations such as CVA and MVA.

During this lunch session we will focus on showing how we incorporate many concepts that you may be familiar with within our products, without going into too much detail of each subject. We build all our software inhouse and even though the end products are financial services, our work is mainly focused on linear algebra, stochastic calculus and numerical methods, which can be very challenging and rewarding to work with. We hope that students with strong mathematical and software development interests will find the session interesting.

We are currently looking for two, ambitious master thesis students for two separate theses. We strongly believe that a master thesis is for the benefit of the student so we are flexible when it comes to formulating a suitable topic in mutual interest, but suggestions in our preferred domain are:

“Determine for which matrix dimensions it is possible to achieve a speedup using a GPU instead of a CPU when doing a Householder reflection-based rank-revealing QR factorization”

“Determine CMA-ES convergence properties for different orthogonal nullspace bases when solving optimization problems with constraints Ax=0”

“Modeling IM calculations using neural network techniques”

“Optimizing SIMM IM using Automatic Differentiation and Gradient Descent”

“Determine which GPU memory allocator strategy that is most beneficial for a certain access pattern and matrix size”

“Compare GPU and CPU Monte Carlo simulations for pricing of derivatives and determine when it is beneficial to use each architecture”

“Compare the Libor Market Model to Stochastic Drift using the Probability Matrix Method for pricing of exotic interest rate derivatives”

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