New Trends in Computational Finance and Related Topics

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New Trends in Computational Finance and Related Topics

 24 - 25 Apr 2014
 ICMS, 15 South College Street Edinburgh

Scientific Organisers:

  • Lukasz Szpruch, University of Edinburgh

  • Goncalo dos Reis, University of Edinburgh

The main purpose of the meeting was to gather experts in an informal environment to provide a unique opportunity for the exchange of ideas, presentations and dissemination of new results.

The topics included:

  • High performance computing

  • Construction and analysis of new algorithms for non-linear equations in finance

  • Recent developments in BSDE's

  • Monte-Carlo and related methods


  • Lokman Abbas-Turki, Technische University Berlin

  • Denis Belomestny, University of Duisburg-Essen

  • Jean-Francois Chassagneux, Imperial College London

  • Mike Giles, University of Oxford

  • Emmanuel Gobet, Ecole Polytechnique

  • Lajos Gyurko, University of Oxford

  • Celine Labart, University of Savoie

  • Antoon Pelsser, Maastricht University

  • Gilles Pagès, Universities of Paris 6 and 7

  • Ruppa Thulasiram, University of Manitoba

  • Plamen Turkedjiev, Ecole Polytechnique

  • Julien Guyon, Bloomberg L.P.

  • Paulwin Graewe, Hombloldt University


This workshop was sponsored by NAIS (the Centre for Numerical Algorithms and Intelligent Software).


Lokman, Abbas-TurkiTU Berlin
Denis, BelomestnyDuisburg-Essen University
Todor, BilarevHumboldt-Universität zu Berlin
Burak, BukeUniversity of Edinburgh
Jean-Francois, ChassagneuxImperial College London
Christos, DelivoriasTampere University of Technology
Goncalo, Dos ReisUniversity of Edinburgh
Jacek, DzieciolowskiUniversity of Edinburgh
Mike, GilesUniversity of Oxford
Kouma, GnamehoMaastricht University
Emmanuel, GobetEcole Polytechnique
Paulwin, GraeweHumboldt-Universität zu Berlin
Julien, GuyonBloomberg L.P.
Lajos Gergely, GyurkoMathematical Institute, University of Oxford
chaman, kumarEdinburgh University
Céline, LabartLAMA
Vincent, LemaireUPMC Paris 6
Arnaud, LionnetOxford University
Gerencsér, Máté
George, MavrosH-W University
Julien, MerhebSWIP
Rasonyi, MiklosSchool of Mathematics, University of Edinburgh
Adamantios, NtakarisUniversity of Edinburgh
Gilles, PagesUPMC (Univ. Pierre et Marie Curie)
Antoon, PelsserMaastricht University
Remus, PopUniversity of Edinburgh
Aidan, RockeEdinburgh University
José, Rodriguez VillarrealUniversity of Edinburgh
Sotirios, SabanisUniversity of Edinburgh
Gerardo, SantacruzUniversity of Edinburgh
David, SiskaUniversity of Edinburgh
Lukasz, SzpruchUniversity of Edinburgh
Ruppa, ThulasiramUniversity of Manitoba
Plamen, TurkedjievEcole Polytechnique
Ye, YueTampere University of Technology
XILING, ZHANGSchool of Mathematics, University of Edinburgh
Chao, Zheng