Bergische Universität Wuppertal
Fachbereich Mathematik und Naturwissenschaften
Angewandte Mathematik - Numerische Analysis (AMNA)

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Bilateral German-Spanish Project

HiPeCa: High Performance Calibration and Computation in Finance

Programme Acciones Conjuntas Hispano-Alemanas financed by DAAD and the Fundación Universidad.es

(01/2014 - 12/2015)

Summary

In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed a tremendous growth. Advanced numerical techniques are imperative for the most present-day applications in financial industry, especially as a consequence of the recent financial crisis.

The motivation for this bilateral exchange project is the need to promote networks of highly educated scientists in the field of financial mathematics and scientific computing, so as to exchange and discuss current insights and ideas, and to lay groundwork for future collaborations. Hereby, the main training objective is to prepare young researchers from Germany and Spain with a broad scope of high level scientific knowledge in computational finance and practical programming skills in modern computer languages like CUDA for GPU computing.

One of our principal goals is also aimed at providing training in advanced techniques in scientific computing with application to complex financial models. This training will cover the use of the hardware and software tools related to the very recent many-core GPUs (Graphical Processing Units) based cluster technologies. These new tools reveal extremely efficient for Monte Carlo simulations, finite differences and calibration methods, so that the financial industry highly demands professionals and training courses on these topics to drastically reduce the time of the computer intensive calculus related to price and hedge large portfolios.

Scientific Objectives


German team:

Spanish team:


German institutions:

Spanish institutions:


Events related to the Project


Publications related to the Project

[CGEV17] M.C. Calvo-Garrido, M. Ehrhardt and C. Vázquez,
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach, Journal of Computational Finance 20(3), March 2017, 1-27, DOI: 10.21314/JCF.2016.317
[CGEV19] M.C. Calvo-Garrido, M. Ehrhardt and C. Vázquez,
Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations, Appl. Numer. Math. Vol. 139 (May 2019), 77-92. DOI:10.1016/j.apnum.2019.01.001
[HeEh14] C. Hendricks, M. Ehrhardt,
Evaluating the Effects of Changing Market Parameters and Policy Implications in the German Electricity Market, The Journal of Energy Markets, 2014.
[HeEhGu14] C. Hendricks, M. Ehrhardt, M. Günther
High Order Combination Technique for the efficient Pricing of Basket Options, to appear: Acta Math. Univ. Comenianae, 84(2) September 2015, 243-253.
[TEG14] L. Teng, M. Ehrhardt and M. Günther,
The Pricing of Quanto Options under Dynamic Correlation, in: (J. Vigo-Aguiar, ed.) Proceedings of the 14th International Conference on Computational and Mathematical Methods in Science and Engineering, CMMSE 2014, July 3-7, 2014, Cadiz, Spain, Volume 1, pp. 1228-1238.


Talks related to the Project


Related Projects



University of Wuppertal
Faculty of Mathematics and Natural Sciences
Department of Mathematics
Applied Mathematics & Numerical Analysis Group

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