This Advanced Course is part of the Intensive Research Programme on Quantitative Finance


♦ 100 €

Advanced Course on Numerical Methods in Finance (IRP in Quantitative Finance) ONLINE

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Advanced course / School
From May 31, 2021
to June 04, 2021

The Advanced Course will be held ONLINE via Zoom due to the current COVID-19 epidemiological situation

Registration deadline 09 / 05 / 2021


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.


Elisa Alòs​​​​​​ ​​Universitat Pompeu Fabra
​Luis Ortiz-Gracia ​Universitat de Barcelona
​Josep Vives ​Universitat de Barcelona-IMUB

Scientific com​mittee

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


​Cornelis W. Oosterlee ​Delft University of Technology and CWI Course abstract
Matthias Ehrhardt University of Wuppertal Course abstract

Contributed talks

We have available slots for contributed talks from participants. If you want to give a talk, please select the relevant option during the registration process.
Application deadline is April 4, 2021 
Resolutions will be sent before April 20th, 2021


For inquiries about the activity please contact the research programs coordinator Ms. Núria Hernández at​​