Scientific Report


With this workshop we had the following purposes:


1)    Bring together researchers from financial and actuarial mathematics, and discuss the dierent stochastic models involved in their (financial, insurance and pension) products, and the dierent concepts to reduce the risk of losses due to unexpected market conditions.

2)    Bring together experts in dierent numerical techniques (Monte Carlo, PDEs, quadrature); inform each other about the latest advances and exchange in par¬ticular information about the cross-fertilisation between these methods.

3)    Bring together leading researchers in the Dutch and Flemish communities in the field in order to explore the common grounds in research and education.

4)    Invite researchers from the financial and insurance industry to learn about the latest developments in academic research and to interact with the Dutch/Flemish community.


In line with the above, a well-mixed group of about 60 researchers contributed to the workshop from more than 10 dierent countries. There was a good balance in the group of participants in many respects, in particular in terms of academic/industrial, junior/senior, and male/female researchers.


The quality of the presentations was high and stimulated ample discussions. In particular, on Wednesday morning we had a session with mainly industrial researchers from banks. They posed their research questions in an open session, which resulted in a lively interaction between academic and industrial experts. Also, we had a fair amount of junior speakers at the workshop, which worked out very well. Compared to other Lorentz workshops, we may have had a large amount of presentations in the week. However, with an active participation of researchers from the financial industry, we considered it important to fill the workshop days, which did not hamper the scientific discussions. These took place also during the coee breaks, the extended lunch time, the evenings in Leiden, and the successful excursion to the Keukenhof and Katwijk.

On the Tuesday, Wednesday and Thursday afternoons we reserved two hours of discussion sessions among the workshop participants. The discussions were guided by a moderator, along the following three topics:


·        Models in Finance and Insurance, dierences and similarities;

·        Computational techniques, cross-fertilisation;

·        The Dutch/Flemish communities, what can we do together ?


The discussions were deep and insightful. It was clear that we had a group of motivated expert participants, and the moderation was very accurate and well prepared. This was considered the secret to the success of the discussion sessions.

The interaction between scientists dealing with dierent pricing methods was one of the reasons for some of the special moments in the workshop, where it became clear that existing problems in one area of computational finance were no problem at all for another research area. This was one of the eye openers.

A further outcome of this workshop is that a special issue of the Journal of Computational Finance will be devoted to it.

As all of our aims have been accomplished we consider the workshop a major success.



Prof.dr. Karel J. In ’t Hout (1), Cornelis W. Oosterlee (2),


(1) Department of Mathematics and Computer Science University of Antwerp Middelheimlaan 1, B-2020 Antwerp, BELGIUM Phone: +32 3 265 3889, e-mail: Internet:

(2) CWI, Centrum Wiskunde & Informatica, Group Modeling, Analysis and Computing (MAC2)

P.O. Box 94079, 1090 GB Amsterdam Phone: +31 20-5924108, e-mail: Internet: