Case studies

Selected Past Internships

1. Irakli Khomasuridze
2. Geeske Vlaming
3. Jannemiek ter Horst




Name: Jannemiek ter Horst
University: Delft University of Technology
Study: Master's in Applied Mathematics
Internship: six-month research internship with Saen Options
Dates followed: April - November 2007


Research Topic: American option pricing in the Heston model
>> Read research proposal

"I was studying Applied Mathematics at Delft University of Technology when I took an internship with Saen Options in 2007. My thesis was on American option pricing in the Heston model, looking at stochastic volatility. While two supervisors from Delft helped me with my research topic, Michel Vellekoop (from the University of Amsterdam) gave me expert supervision during the entire internship process. Everyone at Saen Options was available for me to ask questions, and it was a real eye opener to see how my research related to the practical working environment."

"When I started my internship, I didn't know which direction I wanted my career to take. I enjoyed using my quantitative skills, but I also liked working with people. In my job now as a Quant at Kempen & Co, I manage a fund that invests in futures, and work on its investment models. My internship gave me invaluable experience - I got deeply involved in the mathematical models while also gaining teamwork skills."



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