Technical Program (Available in Feb. 2011)

  Call for Papers

  Initial Submission

  Accepted Papers




General Chair:
Ruppa K. Thulasiram,
University of Manitoba, Canada

Program Chairs:
Alan Wagner, Univ. British Columbia, Canada
Alan J. King, IBM TJ Watson, USA
Stephane Vialle, Supelec, France

Advisory Committee:
Carl Chiarella , U Tech, Sydney, AU
Thomas Coleman, U Waterloo, Canada
Mike Dempster , Cambridge U, UK
Jack Dongorra , U Tennessee, USA
Jin Duan , U Toronto, Canada and NUS, Singapore
Guang R. Gao , U Delaware, USA

Program Committee:
Please see below

Important Dates


Paper submission:
15 December 2010
Deadline extended to: 31 December 2010

Author notification:
31 January 2011

Camera-ready due:
21 February 2011








International Parallel and Distributed Processing Symposium

Anchorage, USA

The Fourth International Workshop on
Parallel and Distributed Computing in Finance
(Mathematical & Computational Finance)

Friday, May 20, 2011,

in conjunction with

25th IEEE International Parallel and Distributed Processing Symposium - IPDPS 2010
May 16-20, 2011, Anchorage, Alaska, USA

Following the success of the first three workshops in April 2008, May 2009 and April 2010, we are encouraged to continue the efforts to bring together computer scientists, mathematicians, physicists, aerospace engineers, finance academics and practitioners working on problems in finance, business and management. The fourth international workshop is to be held in conjunction with the International Parallel and Distributed Processing Symposium, a well established and highly reputed meeting of computer scientists and engineers.

Original contributions in the design (theoretical and experimental), development, implementation, of parallel and distributed algorithms for finance computation in advanced state-of-the-art architectures are solicited. For 2011, Mathematical Finance papers are also solicited.


Today, principles of finance are combined with advanced mathematical structures to form useful financial products, strategies and models that are tested and implemented with the use of advanced quantitative techniques. Use of computing technology is pervasive throughout this process.

Quantitative and Computational Finance is an area referred to under a variety of names, for example, 'computational finance', 'financial engineering', and 'mathematical finance'. But in all cases there is an effort that involves 'financial', 'mathematical', 'quantitative' and 'computational' thinking to build, test and implement models that are at the center of these financial activities.

In the last decade Computational Finance (CF) has influenced the market place extensively with enormous impact on wealth building, employment opportunities, and tremendous economic growth. This field forms an ever-expanding part of the financial sector, in numerous ways today. The time is, therefore, ripe now to bring together researchers in the areas of mathematics, physics, economics and finance using complicated models to solve computationally intensive problems and computer scientists having the resources and solution methodologies to solve such problems. The main goal of this workshop is to provide a timely forum for these two groups to exchange and disseminate new ideas, techniques, and research in mathematical and computational finance. Strong discussions will follow the presentations and the experience could lead them into the formulation, implementation of the models used by the practitioners in finance world. Therefore, the effort through this workshop is to bring together researchers in the areas of mathematics, physics, economics, finance and advanced computing (i) who develop and employ parallel and distributed computing extensively (ii) at a venue where parallel, distributed, high performance computing is the fundamental thread of discussions and arguments.

The papers to be presented will examine the problems in finance and bring out computing challenges these problem pose and how parallel and distributed computing knowledge and practice could be employed to the problems in finance. The papers will cover fundamental problems in finance (for example, interest rate and volatility modeling, pricing derivatives, risk management strategies etc.), introduce the computational issues therein and report latest findings and understanding of financial modeling that would have reslted with the use of parallel and distributed computing and bring out new in-sights to this field.

Computer scientists participating in this workshop, with or without any finance background will get an opportunity to familiarize themselves with many problems in finance, expose themselves to various financial markets and get a first-hand experience of formulating finance problem into a computational problem. They will also witness live discussions on various topics, for example, famous Black-Scholes-Merton, GARCH model for option pricing, difficulties in solving the resulting partial differential equation, various numerical techniques resorted to (for example, binomial lattice, finite-difference, fast Fourier transform, Monte Carlo simulation and others) and parallel algorithms on the above methods and techniques on clusters, supercomputers, heterogeneous, parallel and distributed architectures, system-on-chip architectures, grids, and large scale machines.


Information Technology is growing in leaps and bounds in an unprecedented way, making highly efficient systems available in notebooks (that are equivalent to powerful workstations a few years ago) for people to move around and to do business. With this pace of growth in the IT sector, the "financial world" is transforming from traditional methodologies to avail of the new and advanced technologies for its own growth and overall economic prosperity. To this effect, finance industry is in demand of significant number of computer scientists and software professionals to develop robust and efficient codes for specific products and instruments. The background knowledge on finance problems and models discussed in this workshop will open up new research opportunities for computer scientists and engineers attending the IPDPS meeting beyond problems from science and engineering.

IPDPS attendees with their knowledge in mathematics, numerical techniques and high performance computing will enjoy and appreciate the papers and presentation and will be satisfied to have gained something totally new from these presentations. Moreover, at the same time, this workshop will bring mathemcatical and computational finance researchers to the IPDPS meeting.

By engaging leading computer scientists and engineers, researchers from finance will benefit quite a lot as well by learning the latest from the experts, without having to reinvent the wheel. This is one major benefit for the regular IPDPS attendees and for new comers.

Put simply, this workshop will be a perfect marriage between two historically established, technologically evolving and at the time same time traditionally different fields: finance and computing.

Review and publication

Submitted manuscripts may not exceed 15 single-spaced pages using 12-point size font on 8.5x11 inch pages, including figures, tables, and references. Please use the standard 1-inch margin. The submitted papers will be reviewed by three reviewers one of them from business/finance background from the program committee. Accepted papers will be published with the IPDPS 2011 proceedings. Extended versions of the workshop papers may be invited for a special issue journal, details of which will be informed as progress is made in this regard.

Topics of interest include but not limited to the following:

  • Parallel Algorithms for problems such as stock price predictions, asset pricing, option pricing and risk management
  • Numerical Techniques for above problems and their implementations on state-of-the-art parallel architectires
  • Large scale experiments and performnace measurements of above algorithms
  • Molecular simulation in finance
  • Engineering approaches (e.g. Fast Fourier Transform, Wavelet Transform) to finance problems
  • Finance computations using system on a chip architectures
  • Real time pricing
  • High Performance data mining in finance
  • Mathematical Finance
  • Evolutionary Computing in Finance

Workshop Chairs

  • General Chair :

    • Ruppa K. Thulasiram, University of Manitoba, Canada

  • Program Chairs:

    • Alan Wagner, Univ. of British Columbia, Canada

    • Stephane Vialle, Supelec, France

    • Alan King, IBM T.J. Watson Research Center, USA

Program Committee (some to be reconfirmed)

  • Dr. S.S. Appadoo, University of Manitoba, Canada
  • Prof. Amir Atiya, Cairo University, Egypt
  • Prof. Arunaba Bagchi, University of Twente, Netherlands
  • Prof. John Birge, University of Chicago, USA
  • Prof. Anthony Brabazon, University College Dublin, Ireland
  • Prof. Mark Broadie, Columbia University, USA
  • Prof. Joe Campolieti, Wilfred Laurier University, Canada
  • Prof. Carl Chiarella, UTS, Australia
  • Prof. Silvano Cincotti, University of Genoa, Italy
  • Prof. Thomas Coleman, University of Waterloo, Canada
  • Prof. Sanjiv Das, Santa Clara University, Santa Clara, CA, USA
  • Prof. Michael Dempster, Cambridge University, UK
  • Prof. Chris Downing, Barclay Global Investors, USA
  • Prof. Jin Duan, University of Toronto, Canada
  • Prof. Peter A. Forsyth, University of Waterloo, Canada
  • Prof. Guang R. Gao, University of Delaware, USA
  • Prof. Manfred Gilli, University of Geneva, Switzerland
  • Prof. Jens Gustedt, INRIA, France
  • Prof. Sergey Isaenko, Corcordia University, Canada
  • Prof. Gady Jacoby, Seton Hall University, USA
  • Dr. Rishi Khan, ETI International, USA
  • Prof. Kiran Kumar, Indian School of Business, India
  • Prof. Fima Klebaner, Monash University, Australia
  • Prof. Bernard Lapeyre,Ecole Nationale des Ponts et Chausses, France
  • Prof. Xiaolin Li, Oklahoma State University, USA
  • Prof. Yuying Li, University of Waterloo, Canada
  • Prof. Dmitri Livdan, University of California, Berkeley, USA (to confirm)
  • Prof. Yuh-Dauh Lyuu, National Taiwan University, Taiwan
  • Prof. Makarov, Wilfred Laurier University, Canada
  • Prof. Dilip Madan, University of Maryland, USA (to confirm)
  • Dr. Golaka C. Nath, Clearing Corporation of India, India
  • Prof. Giray Okten, Florida State University, USA
  • Prof. Cornelis W. Oosterlee, National Research Institute for Mathematics and Computer Science, CWI, Amsterdam, Netherlands
  • Prof. Aris M. Ouskel, University of Illinois, Chicago, USA
  • Prof. Eckhard Platen, UTS, Australia
  • Prof. Luis Seco, University of Toronto, Canada
  • Prof. Ashok Srinivasan, Florida State University, USA
  • Prof. Raj Srinivasan, University of Saskatchewan, Canada
  • Prof. M. Thenmozhi, Indian Institute of Technology, Chennai, India
  • Prof. Parimala Thulasiraman, University of Manitoba, Candaa
  • Prof. Ruppa K. Thulasiram, University of Manitoba, Canada
  • Prof. Edward P.K. Tsang, University of Essex, UK
  • Prof. Alan Wagner, University of British Columbia, Canada
  • Prof. Liqun Wang, University of Manitoba, Canada
  • Prof. Criag Wilson, University of Saskatchewan, Canada
  • Prof. Gabriel Wittum, University of Heidelberg, Germany
  • Prof. Ing Chyuan Wu, Fo Guang University, Taiwan
  • Prof. Mieko Tanaka-Yamawaki, Tottori University, Japan