Department of Information Technology

Computational Finance

We are interested in the numerical pricing of financial derivatives. The numerical approximation techniques used are adaptive finite difference methods and radial basis functions. We consider pricing of both European and American options as well as some exotic options such as Turbo warrants, bubbles and the term structure equation. The whole range of the solution process is considered, from the numerical discretization to the solution of the resulting linear systems using iterative methods and preconditioning.

We have also in 2013 started research on model calibration and parameter estimation for financial models. This is needed for model consistent risk management of financial derivatives (hedging, risk assessment like "conditional value at risk" computations), something which is emphasized by new stricter regulations due to the ongoing financial crisis. Our idea is to combine advanced numerical methods with statistics in order to propose new statistical tools that are very much needed, especially in light of the rapid increase of the volume of the financial derivative markets, leading to huge volumes of trading data and large numbers of transactions in need of accurate statistical information.

Visiting SIAM Conference in Chicago

In november 2014 Lina von Sydow, Elisabeth Larsson, Victor Shcherbakov and Slobodan Milovanovic attended the SIAM Conference on Financial Mathematics and Engineering. We all gave a presentation, and Lina von Sydow and Elisabeth Larsson organized the mini-symposium Radial Basis Function Based Methods in Finance. On the right you see a picture of us taken in Millennium Park by Victor's wife Inna Chubarova.

Picture from Chicago

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Activities organized by the group

  • A workshop on Mathematical and Numerical Modeling in Finance was organized by Josef Höök, Elisabeth Larsson and Lina von Sydow June 9-11 2014 at Institut Mittag-Leffler in Djursholm. It was well attended by people from academia and financial institutions. There were research presentations with a mix of applied mathematics and numerical methods in the morning. New problems were discussed in the afternoon sessions, which resulted in at least one new major collaboration project.
  • May 8-9 2014, Slobodan Milovanovic and Victor Shcherbakov accompanied by Elisabeth Larsson took part in the organization of and attended Postgraduate Workshop on Approximation Theory (with emphasis on Financial Applications) at Birkbeck, University of London. Doctoral students and researchers from Birkbeck, Leicester University, and Uppsala University had a chance to share their research results and exchange ideas amongst a larger audience. The broader aim of the workshop was to explore potential collaborative projects in this field for the future.
  • On October 8 2013 the group organized a Workshop in Computational and Mathematical Finance. The workshop was very successful with many interesting presentations in the field that attracted 50 participants from business and academia. We plan to make this a recurrent event.

Refereed publications

Supervised projects in project course in Scientific Computing

Supervised Bachelor thesis projects

Supervised Master thesis projects

Former participants from Dept. of IT, Scientific Computing, Uppsala University

  • Jonas Persson, PhD, Sungard Front Arena

Former and present collaborators

  • Erik Ekström, Dept. of Mathematics, Uppsala University
  • Sônia Gomes, Department of Applied Mathematics, Univeristy of Campinas
  • Erik Lindström, Division of Mathematical Statistics, Center for Mathematical Sciences, Lund University
  • Alison Ramage, Dept. of Mathematics, University of Strathclyde, Scotland
  • Santtu Salmi, Department of Mathematical Information Technology, University of Jyväskylä, Finland
  • Jari Toivanen, The Institute for Computational and Mathematical Engineering (ICME), Stanford University, USA and Department of Mathematical Information Technology, University of Jyväskylä, Finland
  • Johan Tysk, Dept. of Mathematics, Uppsala University
  • Johan Waldén, Haas Business School, University of California, Berkeley, USA
Internal web page (only available for members of the group)
Updated  2017-12-07 10:21:15 by Lina von Sydow.