The ECMI Special Interest Group Computational Finance was launched at ECMI-2014 in Taormina (June 9-13, 2014) and (together with the ITN STRIKE Project) organized several sessions of a minisymposium in Computational Finance. The aim of the SIG is to extend the network and to build a framework to continue close cooperation in future. It also provides a long term professional contact option for Alumni of ITN-STRIKE. It is natural that the SIG will enforce continuation of the ICCF conferences, see below.
At ECMI-2014 and ECMI-2016, already an additional series of talks were devoted to Mathematical Modelling in Energy Markets, involving d-fine (Frankfurt), EnergyQuants (Amsterdam) and EDF (Paris). The Energy Markets seem to be a natural extension for the application area of the SIG. The rapid changes in energy trading within the last two decades have attracted many researchers in academia and industry. Their aim is to adequately model energy prices and typically also to design methods and guidelines for risk management challenges such as power plant portfolio optimization. The well-known non-storability property of electricity (and challenges in natural gas storage) leads to major modelling differences compared to stock or bond markets.
Involvement of private sector
Apart from several events in training a first event with private sector participation was the Postbank Workshop in Bonn (March 26-28, 2014). Here Postbank AG (Bonn), Deloitte & Touche (Düsseldorf), d-fine (Frankfurt am Main), European Patent Office (Munich), NAG (Oxford), and Techila Technologies (Tampere, from ITN HPCFinance) did provide contributions. Operations at a bank, risk management, credit risk modelling, IPR, parallel and GPU computing for financial problems and cloud computing were amongst the topics.
At the Workshop Nonlinear PDEs and Financial Mathematics (Zittau, Feb. 23-27, 2015) interaction was with Yandex (Berlin & Moscow), who provided a clusteranalysis and talks on big-data and machine learning. Sachsen Asset Management became interested in our work. Quantstellation gave a talk on the low frequency trading.
At the Workshop Models and Numerics in Financial Mathematics (Leiden, the Netherlands, May 26-29, 2015), organized by the Univ. of Antwerp and the ECMI Members TU Delft and CWI-Amsterdam, from the private sector ING Bank (Amsterdam, NL), Rabobank (Utrecht, NL), KBC Bank (Brussels, Belgium) and Banco Santander (Spain) were involved.
The SCF2015 Conference Stochastics & Computational Finance 2015 – From Academia to Industry (July 7-10, Lisbon) showed involvement from Bloomberg (New York), Ernst & Young (Lisbon), Datasim Financial Amsterdam, MathFinance AG (Frankfurt), d-fine (Frankfurt), EDP - Energias de Portugal and BNP Paribas (Lisbon). With these industrial partners we organized a panel discussion at SCF2015.
In Greenwich we started a new International Conference series ICCF2015 – International Conference on Computational Finance (Greenwich, London, Dec. 14-18, 2015). Here Thalesians Ltd. (London, UK), NVIDIA (Reading, UK), NAG (Oxford, UK), Llyods Banking (London, UK) and Murex (Luxembourg) actively participated. Several talks from academia revealed cooperation with banks in the various countries. On Friday there was an Industrial Day.
The SIG will look for opportunities for new projects in both directions, Computational Finance and Energy Markets, in the coming years (ETN, EID, and EJD). The Special Interest Group is open for further participation.
2021 and later
- 2025: ICCF-2025 6th International Conference on Computational Finance, Amsterdam, The Netherlands.
- 2023: ICCF-2023 5th International Conference on Computational Finance, Dublin, Ireland.
- ECMI 2022 Conference
- May 24-28, 2021: ICCF-2021 4th International Conference on Computational Finance, Wuppertal, Germany.
- 2021: 2nd Lorentz Center Workshop Applied Mathematics Techniques for Energy Markets in Transition, Leiden, The Netherlands.
- June 14-20: Seventh Conference on Numerical Analysis and Applications, Lozenetz, Bulgaria.
- June 22-26: Minisymposium Computational Methods for Finance and Energy Markets at ECMI 2020 Conference Limerick, June 22-26, 2020, Limerick, Ireland.
- September 10-15: Minisymposium Computational Methods for Finance and Energy Markets at ALGORITMY 2020 - Conference on Scientific Computing, Vysoke Tatry, Podbanske, Slovakia.
- July 8-12: ICCF-2019 3rd International Conference on Computational Finance, A Coruña, Spain (Satelite Event of ICIAM Valencia).
- July 15-19: Minisymposium at The International Congress on Industrial and Applied Mathematics (ICIAM 2019) Valencia, Spain.
- September 22-27: BIRS Workshop, New challenges in energy markets - data analytics, modelling and numerics, Banff International Research Station, Canada.
- June 11-16: Minisymposium Novel Methods in Computational Finance at Seventh Conference on Finite Difference Methods: Theory and Applications, Lozenetz, Bulgaria.
- June 18-22: Minisymposium at ECMI 2018 Conference Budapest, Hungary.
- July 4-8: Minisymposium Recent trends in the analysis and computations of nonlinear partial differential equations and systems, in the framework of XVII International Conference Computational & Mathematical Methods in Science and Engineering
- September 4-8: ICCF 2017 - International Conference on Computational Finance, Lisbon, Portugal.
- September 18-22: Lorentz Center Workshop Applied Mathematics Techniques for Energy Markets in Transition, Leiden, The Netherlands.
- March 13-18: Special session "Financial mathematics" at ALGORITMY 2016- Conference on Scientific Computing, Vysoke Tatry, Podbanske, Slovakia.
- June 14: Minisymposium on "Computational Methods for Finance and for Energy Markets", ECMI 2016 Conference, Santiago de Compostela, Spain.
- June 15-22: 6th International Conference, NAA 2016 - Numerical Analysis and Its Applications, Lozenetz, Bulgaria.
- June 22-27: Special Session 'Computational Finance'; AMiTaNS’16, Albena, Bulgaria.
- February 23-27: Workshop Nonlinear PDEs and Financial Mathematics Zittau, Germany
- March 23-24: Minisymposium at MathFinance Conference, Frankfurt, Germany
- May 26-29: Workshop Models and Numerics in Financial Mathematics Leiden, the Netherlands.
- July 6-10: SCF-2015 International Conference on Stochastics and Computaiopnal Finance, Lisbon, Portugal.
- August : Minisymposium "Computational Finance" at ICIAM Conference Beijing, China.
- December 14-18: ICCF-2015 1st International Conference on Computational Finance, Greenwich, London, UK.
- March 26-28: Postbank Workshop, Bonn, Germany.
- June 9 - 13: ECMI 2014 Conference, European Consortium for Mathematics in Industry, Taormina, Italy.
- Kick-Off of SIG "Computational Finance"
- Invited Speaker from SIG: Jörg Kienitz (Postbank)
- Minisymposium "Computational Finance" (16 Speakers)
- Minisymposium "Mathematical Modelling in Energy Markets" (8 Speakers)
- Young Researchers' Minisymposium "High Performance Computational Finance" (4 Speakers)
- June 18 - 23: Sixth Conference Finite Difference Methods: Theory and Applications, Lozenetz, Bulgaria.
- M. Ehrhardt, L. Vulkov and S. Wang (eds.), Novel Methods in Computational Finance, Special Issue of "Computational Methods in Applied Mathematics" (CMAM) of selected papers from these fields in Computational Mathematics and it's applications,
- September 8 - 12: Summer School in the framework of Conference MMEI 2014, Mathematical Methods in Economics and Industry, Bratislava - Smolenice castle, Slovakia.
- September 29 - October 2: Mini-Workshop Stochastic Computing and Optimization, University Würzburg, Germany.