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

Date: August 11
Time: 13:30--15:30
Room: 1-2

(Note: Click title to show the abstract.)

Organizer:
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).


MS-Tu-D-54-1
13:30--14:00
Pricing derivatives with transaction costs with non-constant risk-aversion
Polvora, Pedro (Comenius Univ.)


MS-Tu-D-54-2
14:00--14:30
High order ADI scheme for option pricing in stochastic volatility models
Miles, James (Univ. Of Sussex)


MS-Tu-D-54-3
14:30--15:00
Calibration of local-stochastic volatility models to barrier options using a Dupire-type PDE
Reisinger, Christoph (Oxford Univ.)


MS-Tu-D-54-4
15:00--15:30
The volatility factors analysis of the international crude oil futures
Chen, Xiaoguo (Guangdong Univ. of Petrochemical Tech.)

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Footnote:
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