Student Profile: Phillip Luong
Phillip completing his fourth year in a double degree studying the Bachelor of Science (Applied Mathematics and Statistics) and Biomedical Science at Monash University. He wishes to pursue a career in mathematics that aims to have a significant positive impact on the world.
Phillip has previously worked in research projects in range of different fields of maths, including Infectious Disease Modelling in Public Health, modelling Traffic Flow on Road Networks, and solving Nurse Rostering Problems in Operations Research.
Aside from studying, Phillip has interests in dance, board games and Japanese culture.
Numerical Optimisation Applied to Monte Carlo Algorithms for Finance
The Least-Squares Monte Carlo Algorithm is broadly used for pricing Bermudean options. In this project we explore optimisation algorithms to extend this method to representations using nonlinear basis functions. One of the keys to the success of this approach is to solve efficiently a complex optimization problem, similar to those encountered in neural networks.