Technical Program (pdf)

  Call for Papers

  Submitting Paper

  Accepted Papers


Important Dates


Paper submission:
07 November 2007

Author notification:
11 December 2007
(to be revised)

Camera-ready due:
28 January 2008

International Parallel and Distributed Processing Symposium

Miami, FL, USA

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

22nd 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 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 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 financial sector. This 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 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 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.

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.

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

Workshop Chairs

  • Ruppa K. Thulasiram, University of Manitoba, Canada

  • Christopher Downing, Barclays Global Investors, USA

Program Committee

  • 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