K. Oosterlee1, C. Vazquez2
1Delft University of Technology/NL, 2Universidade da Coruña/ES
The use of highly efficient numerical methods and the optimal use of the more recent computing technologies are important topics for solving problems in quantitative finance. Derivatives pricing and the risks involved are examples of relevant topics. The size of the portfolios requires the use of highly efficient numerical valuation methods (Monte Carlo, finite differences, finite elements, Fourier transforms) and their optimal implementation to solve the mathematical models. Moreover, the evolution of high performance computing technologies (high speed multicore computers, clusters and GPUs, etc) provides additional speed up to satisfy the real time answer requirements demanded by the industrial sector.
This minisymposium we will bring together a set of speakers with expertise in different aspects of computational finance. They will present recent research achievements and we will have the opportunity to discuss about the present and future interests in quantitative finance.