Workshop on Financial Complexity

  The Computational Science Lab (CSL) at Institute of Informatics together with Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) at University of Amsterdam organized a workshop on Wednesday, June 7 at Institute for Advanced Studies in Amsterdam on...
Dr. Sauro Succi visits CSL and IAS

Dr. Sauro Succi visits CSL and IAS

Dr. Sauro Succi, a renowned pioneer of the lattice Boltzmann method and the 2017 recipient of the Rahman Prize for Computational Physics, has been appointed as guest professor of Computational Science at UvA from May 1, 2017. On this occasion he is visiting Amsterdam...
The Fire of Life – TEDx talk by Peter Sloot

The Fire of Life – TEDx talk by Peter Sloot

Greek mythology talks about Prometheus who stole fire from heaven to animate his clay men. My central conjecture is that what Prometheus stole was not fire but information in the form of Gibbs free energy. This resulted in our complex world, with zillions of molecules...
Smile and default

Smile and default

According to Basel III, financial institutions need to charge a Credit Valuation Adjustment (CVA) to account for counterparty default risk. This adjustment is typically driven by a large number of uncertain risk factors, which makes efficient computation of CVA and...