SIAM News Blog

Computational Finance Day at Delft University of Technology

On May 23, SIAM Student Chapter at Delft University of Technology organized the 2016 Student Computational Finance Day, a workshop to identify the key challenges of computational finance and hear novel approaches from researchers in academia and industry. 

Keynote speaker Professor Kees Oosterlee, an expert in the field of computational finance, gave an overview talk in which he introduced several interesting topics regarding computational finance. Professor Oosterlee discussed the mathematical challenges in every market from stock and commodity markets to foreign exchange and credit markets. He also addressed the trade-off between industrial and academic research in the field, stating that it can be seen as a search for a compromise between a fix that works and a fundamental solution which might be slow.

During the workshop, PhD students from seven different European universities presented their work on novel computational methods. About 20 international students participated in the workshop, which led to a good environment for discussions after each talk. 

Dr. Fang Fang, of Rabobank, also spoke about the calculation of counterparty credit exposures under Internal Model Method. Dr. Fang received her PhD in computational finance and is currently working as a quantitative analyst in the Pricing Model Validation team at Rabobank.

The workshop closed with the last keynote speaker Dr. Drona Kandhai from the ING Bank and the University of Amsterdam. Dr. Kandhai pointed out the current open questions and future challenges in computational finance, giving the participants plenty to talk about over drinks and a BBQ lunch. 

Learn more about this event and SIAM student chapters.

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