Numerical Methods and High Performance Computing in Finance

Pricing and risk management methodologies currently used by financial firms depend on the ability to implement robust and efficient algorithms. These could range from numerical implementations of high dimensional PDEs, fast Monte Carlo algorithms, on-the-fly pricing and risk representation of individual and aggregate positions in the multi-curve environment. Performance and stability of these algorithms is a key to the commercial success of any participant to the financial markets.

OMI researchers push the boundaries of knowledge in the number of directions relevant to this broad area. Industry has a strong interest in the development of efficient and robust implementations of 3 and 4 dimensional PDEs. Fast Monte Carlo algorithms need to be developed to deal with situations in which one has to deal with risk involving large number of assets jointly. Technological advances like the use of GPU are part of the process of transforming and automating financial services industry.      

 
  • Profile Pic: 
    Syed (Ali) Asad Rizvi
    DPhil Student, Engineering, Machine Learning Research Group
  • Profile Pic: 
    Raphael Hauser
    Associate Professor in Numerical Mathematics, University of Oxford
  • Profile Pic: 
    Vadim Kaushanskii
    DPhil Student, Mathematical Institute
  • Profile Pic: 
    Patrick McSharry
    Head of Catastrophe Risk Financing, Smith School, University of Oxford
  • Profile Pic: 
    Lawrence Middleton
    DPhil Student, Statistics
  • Profile Pic: 
    Harald Oberhauser
    Associate Professor at the Mathematical Institute
  • Profile Pic: 
    Michael Osborne
    Associate Professor in Machine Learning
  • Profile Pic: 
    Gareth Peters
    Chair Professor in Statistics for Risk and Insurance, Department of Actuarial Mathematics and Statistics, Heriot-Watt University. Academic Director of the Scottish Financial Risk Academy.
  • Profile Pic: 
    Christoph Reisinger
    Associate Professor in Mathematical Finance, University of Oxford
  • Profile Pic: 
    Jaleh Zand
    DPhil Student, Engineering, Machine Learning Research Group