Minisymposium (ID: SS-CF)
Numerical Methods for Computationally Intensive Problems in Mathematical Finance
Organizers: Duy-Minh Dang (UW), Ken Jackson (University of Toronto)
This special session is part of the Minisymposium SS-MFMCR (Mathematical Finance - Modeling, Computation and Risk Management).
The rapid growth and diversity of the financial markets
over the past few decades has spawned many intellectually
challenging and computationally intensive problems to be solved.
These challenging problems are now spawning radical changes
in computational methods in finance: more mathematically sophisticated
and efficient computational methods are in great demand for the
valuation and risk-management of complex financial instruments.
This special session will bring together researchers who will discuss
recent developments in efficient computational algorithms for the
numerical solution of computationally intensive problems in
mathematical finance. These problems range from pricing of multi-asset
options under a regime switching or uncertain volatility model,
or cross-currency foreign exchange interest rate derivatives,
to computing the loss distribution of credit portfolios.
The computational techniques used include asymptotic expansion-based
approximation methods, partial differential equations and Monte-Carlo
simulations, as well as utilization of emerging computer architectures,
such as Graphics Processing Units (GPUs), to further increase
the efficiency of the numerical methods.
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If you intend to submit your paper, please go to the AMMCS-2013 Proceedings Page. Follow exactly the Author Instructions accessible from that page.