Computational Finance
Computational Finance
In today's financial markets derivatives on different underlying assets and with complex payoffs are traded in huge volumes. 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.
In today's financial markets derivatives on different underlying assets and with complex payoffs are traded in huge volumes. 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. We identify two research themes: (1) Formulation of efficient, accurate and stable computational methods integrated in large scale Monte-Carlo simulations or PDE solvers, which are highly suitable for execution on parallel systems or special purpose hardware such as graphical processing units. (2) Understanding the complex dynamics of financial markets through microsimulation.
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SCS colloquium: N. Javaheri
De rekenregels van de natuur
