ECMI welcomes d-fine as new industrial member

Starting April 2023 ECMI very warmly welcomes d-fine (https://www.d-fine.com/en/ ) as a new member. d-fine is a European consulting company with offices in Germany, Switzerland, Austria and the UK. The headquarters is Frankfurt am Main. d-fine employs more than 1,000 people. The main sectors include banks, insurance companies, energy suppliers […]

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Towards managing of the financial risk of electricity load predictions. A product of linear time series

Electricity is a special commodity with very limited storage possibilities. Hence,  electricity supply and demand must be constantly balanced, making short-term operational planning a crucial issue for electricity trading companies. Production or cost management is usually based on electricity load or demand predictions, published on the day-ahead manner by the […]

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Fourth International Conference on Computational Finance, June 6-10, 2022.

The Chair Applied Mathematics and Numerical Analysis of the University of Wuppertal is the organizer of the Fourth International Conference on Computational Finance (ICCF2022). This event is an action of the SIG “Computational Finance and Energy Markets” and is the fourth of a biennial conference series in the field of […]

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Sequential estimation of state-space model parameters

At LUT University, Finland, a recent MSc thesis studies FX trading and the 2015 Swiss Franc (CHF) de-pegging event with SMC^2 (Sequential Monte Carlo Squared) and stochastic differential equations. The event offered possibilities for triangular arbitrage with the triplet (EUR, USD, CHF). Analysis shows that biggest risk-free profits could have […]

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American option pricing with an adaptive penalization strategy using the sparse grid combination technique combined with the Parareal-algorithm

My name is Anna Clevenhaus and I am a second year Phd-Student in the Applied Mathematics and Numerical Simulation (AMNA) group of the University of Wuppertal. My interest in numerical simulations and analysis started during my bachelor degree when I studied mathematics and chemistry. Afterwards I started with the international […]

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Numerical Solution of SDEs on Matrix Lie Groups with Financial Applications

My name is Michelle Muniz and I am a second year PhD student at the Bergische Universität Wuppertal (BUW), where I have also received both my Bachelor’s and Master’s degree in mathematics. In my Bachelor’s and Master’s thesis I worked on geometric numerical methods for matrix ordinary differential equations (ODEs) […]

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German-Slovakian Project MATTHIAS on Hamilton-Jacobi-Bellman Equations in Finance

  Bilateral German-Slovakian Project MATTHIAS – Modelling and Approximation Tools and Techniques for Hamilton-Jacobi-Bellman equations in finance and Innovative Approach to their Solution financed by DAAD and the Slovakian Ministry of Education (01/2020 – 12/2021) Scientific goals The project deals with qualitative and numerical analysis of nonlinear partial differential equations […]

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International Conference on Computational Finance, July 8-12, 2019 in A Coruña

We cordially invite you to attend the third biennial International Conference on Computational Finance (ICCF2019), on July 8-12, 2019, see http://iccf2019.udc.es The International Conference on Computational Finance 2019 (ICCF2019) is an international conference organized by Universidade da Coruna. It is the third of a biennial series of conferences in Computational […]

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International Conference on Computational Finance 2019

As a key activity of the Special Interest Group on Computational Finance and Energy Markets the 3rd ICCF – International Conference on Computational Finance 2019 will take place in A Coruña, Spain, July 8-12, 2019, see http://iccf2019.udc.es/ . It is the third of a biennial series of conferences in Computational […]

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Workshop on New Challenges in Energy Markets

The upcoming Workshop on New Challenges in Energy Markets will take place at the Banff International Research Station (BIRS) for Mathematical Innovation and Discovery in Banff, Alberta, Canada, September 22-27, 2019 and will focus on: data analytics, modelling and numerics, see: http://www.birs.ca/events/2019/5-day-workshops/19w5229. The workshop was initiated after a Lorentz Workshop […]

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