Minisymposium Computational Finance - Part II of III
For Part I, see MS-Mo-D-54
For Part III, see MS-Tu-D-54

Date: August 10
Time: 16:00--18:00
Room: 1-2

(Note: Click title to show the abstract.)

Teng, Long (Bergische Universität Wuppertal)
Guenther, Michael (Bergische Universität Wuppertal)
Ehrhardt, Matthias (Univ. of Wuppertal)

Abstract: In recent years the variety and complexity of financial mathematics models has witnessed a tremendous growth. For the resulting computational complexity, advanced numerical techniques are imperative for the applications in financial industry.
The aim is to deeper understand complex financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. The motivation for this minisymposium is to exchange and discuss current insights and ideas, and to lay groundwork for future collaborations. Finally, it should serve as a kickoff for the special interest group (SIG) Computational Finance within ECMI (European Consortium for Mathematics in Industry).

On the Heston model with Stochastic Correlation
Teng, Long (Bergische Universität Wuppertal)
Ehrhardt, Matthias (Univ. of Wuppertal)
Guenther, Michael (Bergische Universität Wuppertal)

Valuation of Stock Loan with Stochastic Interest Rate
Zhu, Song-Ping (Univ. of Wollongong, Jilin Univ.)
Xu, Liangbin (Univ. of Wollongong)
Chen, Wenting (Univ. of Wollongong)

An Efficient Solver for Multi-dimensional Nonlinear Black-Scholes Equation with Newton-like Method
TAN, Shih-Hau (Univ. of Greenwich)
Lai, Choi-Hong (Univ. of Greenwich)
Skindilias, Konstantinos (Univ. of Greenwich)

Multivariate Shortfall Risk and Monetary Risk Allocation
Drapeau, Samuel (Shanghai Jiao Tong Univ.)


Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA