Offer Description Scientific Advisor: Mário Alexandre Teles de Figueiredo (ist*****) Organic Unit: Department of Electrical and Computer Engineering Scholarship Theme: Fast Option Pricing With Differential Machine Learning Duration: 6 months Maximum Duration Including Renewals: 6 monthsObjectives Develop a solution for pricing financial options, for BNP Paribas, using differential machine learning.Work Plan During this scholarship, a financial options simulator will be developed for BNP Paribas to simulate the variation of different financial options offered by the bank.
Alongside the simulator, a model will also be developed capable of predicting the pricing of new financial options offered by the bank.Contest Procedure Applications must be exclusively submitted on the admissions platform of the Instituto Superior Técnico at and requires registration and validation of the candidate's identity.
Applications are only accepted when the form available in the platform is correctly filled, submitted and locked without any validation errors.
The mandatory documentation to submit in the scholarship application includes:Curriculum VitaeProof of Qualifications (or declaration of honor in case you do not yet have the certificate)Proof of Registration/EnrolmentMotivation LetterThe application submission deadlines can be viewed in the admissions platform.
The results of the contest will be made available in the same admissions platform.Admission Requirements Being a Master's student, Average graduation grade of 15, Master thesis in conjunction with BNP Paribas, Strong knowledge of machine learning and data science.Contest Evaluation Method(s) Curricular evaluation weighted to 50% on a scale of 20 points.
Individual interview weighted to 50% on a scale of 20 points.Conditions for the Contest Evaluation Through the candidate's CV, we will assess the candidate's suitability for the scholarship.
Through an interview, we'll evaluate the candidate's knowledge of machine learning and data science.Composition of the Selection Jury Jury President: Mário Alexandre Teles de Figueiredo (ist*****) Jury Members:Miguel Afonso Tomás Faria (ist******)Paulo Luís Serras Lobato Correia (ist*****)In case the president of the jury is unable to preside, they will be replaced by one of the jury members.
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