Goethe Center for Scientific Computing (G-CSC)

Goethe University Frankfurt

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Frankfurt Pano

International Workshop on

Numerical Algorithms in Computational Finance

July 20-22, 2011

 

Topics

  • calibration and parameter estimation
  • discretization of stochastic differential equations
  • computation of high-dimensional integrals
  • solution of partial (integro-)differential equations
  • free boundary and nonlinear problems
  • computation of sensitivities

Invited Speakers

  • Christian Bender (Universität des Saarlandes)
  • Emmanuel Gobet (Ecole Polytechnique Paris)
  • Andreas Neuenkirch (Universität Kaiserslautern)
  • John Schoenmakers (WIAS Berlin)
  • Christoph Schwab (ETH Zürich)

Scientific Program

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