Lorentz Center - Models and Numerics in Financial Mathematics from 26 May 2015 through 29 May 2015
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    Models and Numerics in Financial Mathematics
    from 26 May 2015 through 29 May 2015


Scientific Report Lorentz Workshop Models and Numerics in Financial Mathematics

26 29 May, 2015, Lorentz Center, Leiden


Organizers: K.in t Hout (Antwerp) and C. Oosterlee (Amsterdam)


This document provides a summary of the report on the Lorentz Center Workshop Models and Numerics in Financial Mathematics". This event was jointly organized by prof. Karel in 't Hout (University of Antwerp, Belgium) and prof. Cornelis Oosterlee (CWI, Amsterdam, The Netherlands) from 26{29 May 2015 at the Lorentz Center, Leiden, The Netherlands. We gratefully acknowledge all the excellent support from the Lorentz Center staff in organizing this workshop. The event, including ample funding for travel and hotel expenses of the invited speakers, would not have been possible without our sponsors: the Netherlands Organization for Scientific Research NWO, the Flemish FWO Scientific Research Community \Stochastic modelling with applications in financial markets", Rabobank, ING Bank and KBC Bank.


We selected 27 international top scientists from academics and industry in the research areas related to the workshop theme to present a lecture or to moderate a group discussion. In total 61 researchers registered and participated in the workshop, from 13 different countries. Of these researchers, 17 are member of the EU funded Initial Training Network (ITN) STRIKE, with 8 early stage

researchers (ESRs).


With this workshop we had different purposes:


1. Discussion of stochastic models involved in post-crisis financial products, and concepts to reduce the risk of losses due to unexpected market conditions;


2. Bring together experts in different numerical techniques (Monte Carlo, PDEs, quadrature); inform each other about the latest advances and exchange in particular information about the cross-fertilization between these methods;


3. Bring together academic researchers in financial mathematics with practitioners from renowned financial institutions;


4. Members of the STRIKE project present their research results in computational finance.


All four purposes listed above were amply reached at the workshop. The group of partipants formed a very good mix between junior and senior researchers and between academic and industrial researchers. The quality of all presentations was high. They were allocated in the program according to the workshop themes, and covered these very well. Each lecture was followed by 10 minutes of questions. The pleasant workshop atmosphere created much fruitful interactions, also beyond these formal moments, for instance during the coffee breaks and the lunches and dinners.


Ample attention was given to the communication of the research results obtained in the ITN STRIKE project to the other workshop participants. Prof. Matthias Ehrhardt presented an overview lecture with the state-of-the-art of the STRIKE project and dr. Christof Heuer gave a demonstration of the first version of the computational finance toolbox. All ESRs presented posters on their recent research results, which were on display the whole week of the event and attracted much interest by all participants. The poster display was preceded by a ash presentation on the first day of the workshop, where all poster contributors were given the opportunity to brief introduce themselves and their research.


On Wednesday afternoon a special session was held tailored to the industrial needs, with lectures by participants from Banco Santander (Spain), ING Bank (The Netherlands) and Math Finance (Germany), who presented financial models that are used nowadays and their effective implementation on modern computer platforms. The financial industry was well represented at the workshop, with researchers also from Rabobank (The Netherlands), KBC Bank (Belgium), Bank of America (USA) and Calypso (France).


On Thursday and Friday afternoon two group discussions among the workshop participants were organized. These were centered around two contemporary topics in finance:


         PDEs, Quadrature, Monte Carlo methods. Which formulation to use for

modern financial problems?

         Models and products after the credit crisis.


These one-and-a-half hour discussion sessions were excellently moderated by two experts, prof. Peter Forsyth and dr. Mike Staunton, and led to much interaction and new insight and ideas.


On Thursday evening a very pleasant boat excursion with Indonesian dinner was held on the lakes and rivers near Leiden. The sunny weather, beautiful scenery and fine food inspired more discussions and networking among the participants.


As a particular outcome of the workshop, a special issue of the renowned Journal of Computational Finance will be devoted to it.


All the goals of our workshop have been accomplished, and we therefore consider it to be a highly successful event.