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


♦ 100 €

* Registration is free for all affiliated researchers at the Centre de Recerca Matemàtica (CRM). Please click on the Reservation option before finishing the process.

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. 

Participants will receive the link to the sessions by May 28th.

Registration deadline 23 / 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 ​Utrecht University
​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

List of participants

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Oscar Acuña Cornejo Universitat Pompeu Fabra
Mishari Al Foraih Kuwait University
Elisa Alòs ​​Universitat Pompeu Fabra
Cristina Arribas Francisco Universidad Complutense de Madrid
Alessandro Bondi Scuola Normale Superiore di Pisa
Laurent Bouvier Pierre-and-Marie-Curie University
Francesco Campigli Scuola Normale Superiore di Pisa
Dyson Chiweshe University of Zimbabwe
Danilo de Barros École Polytechnique
Ivan Edigarev Moscow Institute of Physics and Technology
Musa Egahi Åbo Akademi University
Matthias Ehrhardt Bergische Universität Wuppertal
Ivan Gallo University of L’Aquila
David Garcia Lorite Caixa Bank
Matteo Gardini University of Genoa
Michel Herrera Universidade da Coruña
Adrián Hinojosa Calleja Universitat de Barcelona
Cyril Izuchukwu Udeani Comenius University in Bratislava
Ajay Kumar Verma Not provided
Jiayi Lin Universitat Pompeu Fabra
Tin Long Kou Universitat Autònoma de Barcelona
Roberto Machado Velho Federal University of Rio Grande do Sul
Zororo Makumbe Universitat de Barcelona
Tommaso Mariotti Scuola Normale Superiore di Pisa
Azzone Michele Polytechnic University of Milan
Hang Nguyen University of New South Wales
Paolo Nova City University London
Eulalia Nualart Universitat Pompeu Fabra
Jesus Ocariz Gallego Universidad Autónoma de Madrid
Luis Ortiz Gracia ​Universitat de Barcelona
Makar Pravosud Universitat Pompeu Fabra
Iacopo Raffaelli Scuola Normale Superiore di Pisa
Bouazza Saadeddine University of Évry Val d’Essonne
Benedetta Salterini University of Florence
Abraham Soldevilla Universitat Pompeu Fabra
Josep Vives ​Universitat de Barcelona-IMUB
Fabio Viviano University of Udine
​Cornelis W. Oosterlee Utrecht University
*Updated May 31, 2021


In order to increase the number of young researchers participating in this activity, a limited number of registration grants are offered by Natixis. Priority will be given to doctoral students. In case applications exceed the number of available grants, Natixis will give preference to French students.

To apply, you must complete the registration process, please go to SIGN IN, indicate in the OTHERS section that you wish to apply for a registration grant, you will be asked to attach your CV. Please click on the Reservation option before finishing the process.

Application deadline is May 24, 2021 
Resolutions will be sent by May 25, 2021

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 May 16, 2021 
Resolutions will be sent by May 21, 2021


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