Modelling and simulation for finance
| industrial collaborators: | Through workshops and dissemination |
| academic collaborators: | Imperial, Heriot-Watt |
| initiated : | 2007/07/04 |
| last updated: | 2009/08/27 |
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First KTN Finance Workshop: Fast Financial Algorithms and Computing
The 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 presentations
Topics 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)
If you are interested and would like to discuss issues arising from the above material, please contact Dr Vera Hazelwood.
Click on the link below to view a report of the Finance Workshop's outcomes.
related resources: other projects:
| [Find other Finance projects] |
| [Find other Foresight projects] |