International Conference: AMMCS-2013

Waterloo, Ontario, Canada, August 26-30, 2013

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AMMCS-2013 Venue: Wilfrid Laurier University Campus in Waterloo, Canada


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.

Please note the ID code assigned to your presentation (identical to the ID code of your accepted abstract). It is required for submitting your paper for the AMMCS-2013 Proceedings. Submission is not mandatory. All submitted papers will be refereed and only accepted papers will be published in the AMMCS-2013 Proceedings.

If you intend to submit your paper, please go to the AMMCS-2013 Proceedings Page. Follow exactly the Author Instructions accessible from that page.

AMMCS, 2013  

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