WCAF 2013 - WORKSHOP ON COMPUTATIONAL AND ALGORITHMIC FINANCE

This workshop is intended to present the advances in numerical and computational techniques in pricing, hedging and risk management of financial instruments. The topics include (but not limited to) that are usually covered by the Journal of Computational Finance, namely:
- Numerical solutions of pricing equations: finite differences, finite elements, and special techniques in one and multiple dimensions.
- Simulation approaches in pricing and risk management: advances in Monte Carlo and quasi- Monte Carlo methodologies; new strategies for market factors simulation.
- Optimization techniques in hedging and risk management.
- Fundamental numerical analysis relevant to finance: effect of boundary treatments on accuracy; new discretization of time-series analysis.
- Developments in free-boundary problems in finance: alternative ways and numerical implications in American option pricing.
- CVA, DVA, FVA, valuing portfolio of instruments.
- Pricing and hedging in incomplete markets
- New techniques in Machine Learning as applied to finance (Support Vector Machines, Neural Networks etc.)
- Numerical techniques and tools for Algorithmic and High-Frequency trading, Market making etc.
- Parallel computing as applied to finance
For more detailed information, please visit our webpage.
http://www.chem.ucla.edu/~itkin/WCAF2013