Overview
What this challenge is about.
Simulate price paths, train a neural net to hedge American options, compare with Longstaff-Schwartz, and earn a verifiable certificate.
The Brief
What you'll do, and what you'll demonstrate.
Build a reference notebook comparing deep hedging to Longstaff-Schwartz Monte Carlo on a vanilla American put with realistic transaction costs.
Earning criteria — what you'll demonstrate
- Implement Longstaff-Schwartz Monte Carlo for American option pricing
- Train a deep hedger with a variance-plus-cost objective
- Design a fair comparison between a classical and a learning-based method
- Write clean research commentary new colleagues can learn from
Program Fit
Where this fits in your program.
Sharpens the same skills your degree expects you to demonstrate.
Skills
Skills you'll demonstrate.
Each one shows up on your verified credential.
Careers
Roles this prepares you for.
Real titles. Real skill bridges. Pick the one closest to your trajectory.
Career paths this builds toward
Canonical rolesML Researcher
Reproducing a paper and writing honest commentary on its limits is the literal day-one task for an ML researcher inside a quant fund.
This challenge sharpens
- deep-learning
- research-writing
- monte-carlo-methods
Research Scientist
Designing a fair comparison and grounding it in primary literature is exactly the rigor expected from a junior research scientist's first internal review.
This challenge sharpens
- stochastic-modeling
- derivatives-pricing
- research-writing