University of Waterloo Computational Finance Project
The Computational Finance Project is currently funded by
the Natural Sciences and Engineering Research Council of Canada
and a variety of industry participants.
Past and present industry sponsors include Scotiabank, Royal
Bank of Canada, Bell University Labs, Sun Life,
ITO33 (Paris), TATA Consulting Services (Mumbai),
Credit Suisse (New York), and Morgan Stanley (New York).
This project brings together faculty members in
Computer Science, Finance, and Statistics and
Actuarial Science. It is focused on computational problems
in finance. We believe that this group is unique,
with strengths in numerical and symbolic computation,
finance and actuarial science.
Recent publications and technical reports can be found
under the Web pages of the individual faculty listed
- Monte-Carlo methods, low discrepancy sequences,
and high dimensional option pricing problems
- Valuation of complex path-dependent options,
including shout options and segregated fund guarantees
- Algorithms for optimal stochastic control (Hamilton Jacobi Bellman
equations) in finance
- Optimal trade execution
- A general purpose tool for valuing two
factor options, including convertible bonds,
stochastic volatility, long-term options with
stochastic interest rates
- Real options in real-estate, environmental remediation,
- Applications of symbolic computation to finance
- Numerical issues associated with PDE
option pricing algorithms (drift dominated real options,
estimation of hedging parameters, finite element/finite
volume methods for multi-factor option pricing)
- Numerical methods for nonlinear PDEs in finance,
with particular attention to methods which are
guaranteed to converge to the viscosity solution.
- Numerical methods for Partial Integral Differential
Equations, arising from jump diffusion, jump volatility
- Hedging stategies for options under jump diffusions.
- Calibration of option pricing models to market data.