The First Workshop on
Parallel and Distributed Computing in Finance (Computational Finance)
Friday, April 18, 2008,
Hyatt Regency Resort, Miami, FL, USA
in conjunction with
IEEE International Parallel and Distributed Processing Symposium - IPDPS 2008
April 14-18,2008, Miami, FL, USA
The first workshop on Computational Finance is a forum for exchange
of fundamental ideas, knowledge, techniques, and applications among
computer scientists, physicists, finance academics and practitioners on
problems in finance, business, management.
This international workshop is the
first 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 are 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 finance using complicated financial models to solve computationally
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
Strong discussions will follow the presentations and
the experience could lead them into the formulation,
implementation of the models used by the practitioners in
workshop will be a first such effort in bringing together researchers in the
areas of 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 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.
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
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 a new set of
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.
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.
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 problem and their implementations
on state-of-the-art parallel architectires
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
Ruppa K. Thulasiram, University of Manitoba, Canada
Christopher Downing, Barclays Global Investors, USA
- 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. Guang R. Gao, University of Delaware, USA
- Prof. Manfred Gilli, University of Geneva, Switzerland
- Prof. Sergey Isaenko, Corcordia University, Canada
- Prof. Gady Jacoby, University of Manitoba, Canada
- Prof. Kiran Kumar, Indian School of Business, India
- Prof. Fima Klebaner, Monash University, Australia
- Prof. Xiaolin Li, Oklahoma State University, USA
- Prof. Yuying Li, University of Waterloo, Canada
- Prof. Dmitri Livdan, Texas A&M University, USA (to confirm)
- Prof. Yuh-Dauh Lyuu, National Taiwan University, Taiwan
- 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