The KTN Finance Workshop was hosted by the Risk Management Lab at the Tanaka Business School on 4 July 2007 jointly organised by the Imperial College and the Smith Institute. We hope this workshop will represent the first of a series of workshops on finance organised by the Industrial Mathematics KTN together with various partners.
Fast Financial Algorithms and ComputingThe workshop brought together outstanding academic researchers in financial engineering, mathematical finance and computing, heads of quantitative analytics and technology from top financial firms and interested parties from government and the research councils to exchange views on important new directions of research on fast algorithms and computing relevant to finance.
The workshop has identified priorities for future research, thus helping to inform the TSB (Technology Strategy Board) and EPSRC (Engineering and Physical Sciences Research Council) in their decision-making on the allocation of funding to ensure the continued capacity of the UK science base to meet the needs of the finance sector.
The presentationsTopics that were covered include the following list and the corresponding presentations are now available:
- Analytical Approximations for Portfolio Payoff Distributions, Harry Zheng (Imperial College)
- Methods for solving high dimensional optimal control problems, Nizar Touzi (Imperial College)
- Software Technology and Markets for Financial Computing, John Darlington (Imperial College)
- New Computing Hardware for Monte Carlo Calculations, Mike Giles (University of Oxford)
- Derivative Pricing for Risk Calculations- Challenges and Approaches, Dan Travers (Sungard)
The Industrial Mathematics KTN is in the process of preparing a formal report to be delivered to the TSB. If you are interested and would like to discuss issues arising from the above material, please contact Dr Vera Hazelwood.