SCS colloquium: Computing in Financial Risk Management

Computing in Financial Risk Management

Summary:

Computational finance, generally referring to the application of computational techniques to finance, has become an integral part of modeling, analysis, and decision-making in the financial industry. Many models used in finance end up in formulation of highly mathematical problems. Solving these equations exactly in closed form is impossible as the experience in other fields suggests. Therefore, we have to look for efficient numerical algorithms in solving complex problems such as option pricing, risk analysis, portfolio management, etc.
The aim of this talk is to give an introduction to the theory of derivative pricing and risk management and discuss the importance of and challenges for computing in finance.