Exchange Traded Leveraged Funds

Dr Eberhard Mayerhofer Investing directly into an index such as the Nasdaq, S&P 500, or Russel 2000 is impractical for individual investors, as they would have to trade hundreds of stocks and reinvest their dividends each time that one of these companies pays one. For instance, the S&P 500 represents approximately 500 firms listed on […]

Computational Finance and European Regulation

  Regulation (EU) No 1286/2014 of the European Parliament and of the Council of 26 November 2014 on key information documents for packaged retail and insurance-based investment products (PRIIPs) requires that producers of PRIIPs give key information documents (KIDs) on these products to the investors. These KIDs have to describe the risk and the possible […]

German-Slovakian Project on Computational Finance

Sixteen mathematics students, doctoral candidates and professors are taking part in a new project on numerical financial mathematics between the Bergische Universität Wuppertal and the Comenius University Bratislava. The aim of the German-Slovakian cooperation is the analysis and construction of novel numerical methods for the effective solution of nonlinear extensions of the classical Black-Scholes theory […]

Successful outcomes of ITN STRIKE

In Dec 2016 the European Initial Training Network project “STRIKE – Novel Methods in Computational Finance” did end. The Bergische Universität Wuppertal, Germany, coordinated this project that involved a network of eleven universities for training twelve PhD-students (4 females, 8 males) and five PostDocs (2 females, 3 males). The project initiated the ECMI Special Interest […]

Performance Measures for Algorithmic Trading

Automated Order Execution is the dominant way of executing trade orders for the last couple of years at major stock markets. There is a variety of algorithms that are designed to serve different purposes and traders preferences. In Automated Order Execution a computer-based algorithm is used to buy (or sell) a position while attempting to […]

Hot Business- from Blast Furnaces to Computational Finance

MathConsult GmbH was founded in 1996 by Heinz W. Engl as a research & development company for industrial mathematics, realizing that certain aspects of mathematical problem solving cannot be achieved by university institutes. A company can offer continuity of staff, can handle routine problems (university institutes would not be allowed to) and can develop commercial […]

Model Order Reduction in Option Pricing

My name is José Pedro Silva and I am a PhD-Student at the Applied Mathematics and Numerical Analysis Group at the University of Wuppertal together with an Early-Stage Researcher position in the ITN-Strike project. My PhD topic orbits around the use of Model Order Reduction in financial markets, with focus in option pricing. The goal […]