This workshop is a part of the International Conference on Computational Science ICCS 2013.
The International Conference on Computational Science
is an annual conference that brings together researchers and scientists from mathematics and computer science as basic computing disciplines, researchers from various application areas who are pioneering computational methods in sciences such as physics, chemistry, finance, life sciences, and engineering, as well as in arts and humanitarian fields, to discuss problems and solutions in the area, to identify new issues, and to shape future directions for research.
ICCS 2013 will be held in Barcelona, Spain, June 5-7 2013. This will be the thirteenth in this series of highly successful conferences. For the previous twelve meetings see here.
Our workshop is intended to present the advances in numerical and computational techniques in pricing, hedging and risk management of financial instruments. The topics include (but not limited to) that one usually covered by the Journal of Computational Finance, namely:
• Numerical solutions of pricing equations: finite differences, finite elements, and special techniques in one and multiple dimensions.
• Simulation approaches in pricing and risk management: advances in Monte Carlo and quasi- Monte Carlo methodologies; new strategies for market factors simulation.
• Optimization techniques in hedging and risk management.
• Fundamental numerical analysis relevant to finance: effect of boundary treatments on accuracy; new discretization of time-series analysis.
• Developments in free-boundary problems in finance: alternative ways and numerical implications in American option pricing.
• CVA, DVA, FVA, valuing portfolio of instruments.
• Pricing and hedging in incomplete markets
• New techniques in Machine Learning as applied to finance (Support Vector Machines, Neural Networks etc.)
• Numerical techniques and tools for Algorithmic and High-Frequency trading, Market making etc.
• Parallel computing and numerical algorithms as applied to finance.
PROGRAM COMMITEE MEMBERS:
- P. Forsyth, University of Waterloo, Canada
- P. Glasserman, Columbia University, USA
- K. in ‘t Hout, University of Antwerp, Belgium
- A. Itkin, Numerix LLC and New York University, USA
- O. Pironneau, University of Pierre et Marie Curie, France
- E. Platen, University of Technology, Sydney, Australia
- A. Sepp, Bank of America– Merrill Lynch, UK
- R. Seydel, University of Koln, Germany
- J. Toivanen, Stanford University, USA
- L. Wu, Baruch College of CUNY, USA
Authors are invited to submit presentations.
Authors are also invited (but not mandatory) to submit manuscripts up to 10 (Letter) pages reporting unpublished, mature, and original research and recent developments/theoretical considerations in applications to computational finance by January 14, 2013. Papers must be based on unpublished original work and must be submitted to ICCS only. After the conference, selected papers will be invited for a special issue of the Journal of Computational Science. Submitted papers must be camera-ready and formatted according to the rules of Elsevier.
Submission implies the willingness of at least one of the authors to register and present the paper.
Please submit your paper via the conference website and select the workshop “WORKSHOP ON COMPUTATIONAL AND ALGORITHMIC FINANCE”.
IMPORTANT DATES:
CONTACT:
E-mail: |
WORKSHOP INVENTOR:
Andrey Itkin, Numerix LLC and New York University.
Numerix is the leading independent analytics provider for derivatives and structured products, enabling the structuring, pre-trade pricing, valuation and management of even the most complex deals. We support all major asset classes, including fixed income, inflation, credit, equity, foreign exchange and commodity instruments, as well as hybrids (a unique feature of Numerix). For more details see here.