Technical Program (available in Feb., 2011pdf)
Call for Papers
Ruppa K. Thulasiram,
University of Manitoba, Canada
Alan J. King, IBM TJ Watson, USA
Stephane Vialle, Supelec, France
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
Please see below
15 December 2009
15 January 2010
01 February 2010
The Third International Workshop on
Parallel and Distributed Computing in Finance (Computational Finance)
Friday, April 23, 2010,
in conjunction with
IEEE International Parallel and Distributed Processing Symposium - IPDPS 2010
April 19-23, 2010, Atlanta, USA
Following the success of the first two workshops in April 2008 and May 2009, 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 third 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 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 on
clusters, supercomputers, heterogeneous, parallel and distributed
architectures, system-on-chip architectures, 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
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
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.
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 2010 proceedings. Extended versions of the workshop papersmay 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
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
General Chair :
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, University of Manitoba, Canada
- 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, Texas A&M University, 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