Fast Financial Algorithms and Computing Workshop
The workshop brought together outstanding academic researchers in financial engineering, mathematical finance and computing, heads of quantitative analytics and technology from top financial firms and interested parties from government and the research councils to exchange views on important new directions of research on fast algorithms and computing relevant for finance.
The workshop has also identified priorities for future research, thus helping to inform the DTI and EPSRC (Engineering and Physical Science Research Council) in their decision-making on the allocation of funding to ensure the continued capacity of the UK science base to meet the needs of the finance sector.
The workshop was hosted by the Risk Management Lab in conjunction with the Smith Institute for Industrial Mathematics and System Engineering.
Copies of the presentations made at the workshop can be found below:
Analytical Approximations for Portfolio Payoff Distributions, Harry Zheng (Imperial College)
Methods for solving high dimensional optimal control problems, Nizar Touzi (Imperial College)
Software Technology and Markets for Financial Computing, John Darlington (Imperial College)
New Computing Hardware for Monte Carlo Calculations, Mike Giles (University of Oxford)
Derivative Pricing for Risk Calculations- Challenges and Approaches, Dan Travers (Sungard)
The last session included a discussion of the scope for forming a research network to advance research in fields covered by the workshop