SIG Computational Finance



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