MS02: Computational Methods for Finance and Energy Markets

This minisymposium is an activity of the ECMI Special Interest Group (SIG) on Computational Finance. The SIG was launched at ECMI-2014 in Taormina and (together with the ITN-STRIKE network (2013-2016)) organized several sessions of a minisymposium in Computational Finance.

The computational complexity of mathematical models employed in financial mathematics has witnessed a tremendous growth. Advanced numerical techniques are imperative for the most present-day applications in financial industry. The aim of this minisymposium is to present most recent developments of effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products.

Wednesday, April 14, 10:20-12:00 (Chair: Jan ter Maten)

1. 10:20 Bertram Düring, High-Order Compact Finite Difference Schemes for Option Pricing
2. 10:45 Flavia Barsotti, Ioannis Anagnostou, Disentangling Credit Risk: A Macroprudential Perspective
3. 11:10 Aleksandra Wilkowska, Krzysztof Burnecki, Marek Teuerle, Diffusion Approximation in Two Dimensional Insurer - Reinsurer model
4. 11:35 Lorenc Kapllani, Long Teng, Deep Learning algorithms for solving high dimensional nonlinear BSDEs

Wednesday, April 14, 14:00-15:40 (Chair: Olivier Guéant)

1. 14:00 María A. Baamonde-Seoane, María del Carmen Calvo-Garrido, Michael Coulon, Carlos Vázquez, A Nonlinear PDE Model for Pricing Renewable Energy Certificates
2. 14:25 Francisco Bernal, Emmanuel Gobet, Jacques Printems, Quantifying the effect of volatility miscalibration in gas swing options
3. 14:50 Piergiacomo Sabino, Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of OU Type
4. 15:15 Michelle Muniz, Matthias Ehrhardt, Michael Günther, Correlation Matrices driven by Stochastic Isospectral Flows

Wednesday, April 14, 16:00-17:40 (Chair: Carlos Vázquez Cendón)

1. 16:00 Jose German Lopez Salas, Carlos Vázquez Cendón, Emmanuel Gobet, Quasi-Regression Monte-Carlo Scheme for BSDEs and Applications in Finance
2. 16:25 Olivier Guéant, Computational Methods for Market Making Algorithms
3. 16:50 Shuaiqiang Liu, Cornelis Oosterlee, Machine Learning to Compute the Implied Volatility for European/American Options
4. 17:15 Hugo E. Ramirez, Diego A. Amaya, Rafael A. Serrano, Portfolio Benchmarking and Optimal Tracking of Index Funds with Transaction Costs

Thursday, April 15, 14:30-16:10 (Chair: Bertram Düring)

1. 14:30 Tatiana Kossaczká, Matthias Ehrhardt, Michael Günther, Deep Smoothness WENO Method with Applications in Finance
2. 14:55 Anna Clevenhaus, Matthias Ehrhardt, Michael Günther, The Parareal Algorithm and the Sparse Grid Combination Technique on the Application of the Heston Model

Check the SIG Webpage. Check the (tentative) QuantLab ML Webpage.