This workshop is a part of the International Conference on Computational Science ICCS 2016. The previous workshop also organized as a part of ICCS2013 was very successful and can be seen here.
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 2016 will be held in San Diego, USA, June 6-8 2016. This will be the sixteenth in this series of highly successful conferences. For the previous 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.
• Derivatives pricing and hedging, inlcuidng all asset classes
• Risk analytics and numerical approached, xVA and related problems,valuation of portfolio of instruments.
• Pricing and hedging in incomplete markets
• New techniques in Machine Learning and Neural Networks 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
- K. in 't Hout, University of Antwerp, Belgium
- A. Itkin, New York University, USA
- O. Pironneau, University of Pierre et Marie Curie, France
- E. Platen, University of Technology, Sydney, Australia
- A. Sepp, Wealth Manager, Switzerland
- J. Toivanen, Stanford University, 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 December 18, 2015. 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 Journal of Computational Science. Submitted papers must be camera-ready and formatted according to the rules of Elsevier. We also might consider publications of these papers in another journal.
Submission implies the willingness of at least one of the authors to register and present the paper.
Please submit your paper via the conference and select the workshop “WORKSHOP ON COMPUTATIONAL AND ALGORITHMIC FINANCE”.
IMPORTANT DATES:
CONTACT:
E-mail: |
WORKSHOP ORGANIZERS:
Andrey Itkin, New York University
Jari Toivanen, Stanford University.