SciCADE 2013
International Conference on Scientific Computation and Differential Equations
September 16-20, 2013, Valladolid (Spain)

Invited Talk

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Algorithms and Numerical Methods for High Dimensional Financial Market Models

A. Falco

Abstract
A major challenge in Computational Finance is the pricing of options that depend on a large number of risk factors. Prominent examples are basket or index options where dozens or even hundreds of stocks constitute the underlying asset and determine the dimensionality of the corresponding parabolic equation. A number of problems in high-dimensional spaces have been addressed by the usual technique of separation of variables. In order to use the separated representation for numerical analysis applications, many algorithms and operations need to be translated into this framework. The aim of this talk is present and review some of these techniques in the context of High Dimensional Financial Markets Models.

Organized by         Universidad de Valladolid     IMUVA