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CRM > English > Activities > Curs 2019-2020 > ADVANCED COURSE 1: NUMERICAL METHODS IN FINANCE
ADVANCED COURSE 1: NUMERICAL METHODS IN FINANCE
COVID-19: For the moment we are plannning to maintain this activity/research program as announced. However, we are monitoring the situation and we will update this information on April 14th.
General informatio​n

This advanced course is part of the

IRP IN QUANTITATIVE FINANCE


From June 8th to 12th, 2020

LocationCentre de Recerca Matemàtica  

Advanced course's information

In this course we will focus on the pricing of options and quantitative risk management from the numerical standpoint. These problems entail an ambitious task in terms of computational complexity and they therefore require sophisticated algorithms. Efficient numerical methods are required to rapidly price complex contracts and calibrate complex financial models to market data. In option pricing, it is the famous Feynman-Kac theorem that relates the conditional expectation of the value of a contract payoff function under the risk-neutral measure to the solution of a partial differential equation. In the research areas covered by this theorem, various numerical pricing techniques can be developed. In brief, existing numerical methods can be classified into three major groups: partial (integro) differential equation (PIDE) methods, Monte Carlo simulation and numerical integration methods. Each of them has its merits and demerits for specific applications in finance, but the methods from the latter class are often used for calibration purposes. Advanced numerical methods are needed within the risk management field as well. The computation of risk measures in either market or credit portfolios is a real problem that financial companies have to deal with. The size of this type of portfolios along with the continually evolving regulatory changes make necessary to look at the new academic developments.


Organizers

​Elisa Alòs​​​​​​ ​​Universitat Pompeu Fabra
​Luis Ortiz-Gracia ​Universitat de Barcelona
​Josep Vives ​Universitat de Barcelona-IMUB​
Scientific Committee
Elisa Alòs​​​
Universitat Pompeu Fabra
José Manuel Corcuera
Universitat de Barcelona
Maria Elvira Mancino
Università di Firenze
Cornelis W. Oosterlee
Delft University of Technology and CWI
Luis Ortiz-Gracia
Universitat de Barcelona
Carlos Vázquez Cendón
Universidade da Coruña
Speaker​s 

​Yuying Li​​​​ ​University of Waterloo Course abstract​​
​Cornelis W. Oosterlee ​Delft University of Technology and CWI Course abstract
  
Grants  


EMS:

The EMS offers some travel grants to young mathematicians from less-favoured regions within the geographical area of EMS membership for presenting results at conferences or attending courses, or for research stays in foreign countries, normally up to a maximum of 900 euros in each case or 500 euros for trips within Europe.

Eligible researchers should use this online form​ in order to apply for travel grants.

Registration

Regular registration fee: 500€
Reduced fee for scholars: 250€
 
Deadline for registration: May 25th, 2020
Registration fee covers the documentation package, coffee breaks and the social dinner
 
Refund policy:

The registration fee depends on the date of the payment.
Cancellations received 1 month before the start of the activity will incur in an administrative fee of 50of the total amount.
Cancellations received less than one month prior to the start of the activity are not refundable.

 

You will be able to pay by card or bank transfer through the on-line registration system.

If you need an invoice, please send an email to amarques@crm.cat after you have completed the registration process until the "save data" button.​ 
Poster and contributed talks
 
Participants have the option to contribute with a talk or with a poster. To apply for talks and/or poster presentation please submit the following form before April 13th, 2020. (Ressolutions will be sent before April 30th, 2020).

Poster size: "DinA0" vertically oriented.
 
Please note that submitting a proposal does not exempt the applicant from having to register to the course.​

Lodging information


For lodging in the area please click here​

For off-campus and family accommodation click here​​​  

Further information


For inquiries about the program please contact the research programme's coordinator Ms. Núria Hernandez at nhernandez@crm.cat​

 

 

Back to IRP in Quantitative Finance web page​​

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