Final Conference

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Keynote speakers


PRESENTATIONS

Monday 14th of March 2016

Morning session

09:30                 
Opening words by professor Juho Kanniainen, HPCFinance coordinator (Tampere University of Technology)

09:35                 
Erik Vynckier, Chief Investment Officer (AllianceBernstein): High Performance Computing & Big Data for Finance. Identifying Returns, Managing Risk and Reporting with Transparency

10:15                 
Hassan Jawaid (Aarhus University): A unified risk minimization framework

11:15                 
Andrea Barletta (Aarhus University): Consistent modeling and efficient pricing of VIX options

11:45                 
Camilla Pisani (Aarhus University): Methods for modelling and calibrating to volatility surfaces for interest rates, equities, credit, and foreign exchange

Afternoon session

13:30                 
David Simmons, Managing director (Capital, Science and Policy Practice / Willis Re): How Catastrophe and Financial Modelling Revolutionised the Insurance Industry

14:15                 
Philipp Ustinov (CSA): Yield curve modelling in a low rate environment

14:45                 
Igor Osmolovskiy (CSA): Individual Household Financial Planning

15:45                 
Professor Mike Giles (University of Oxford): Multilevel Monte Carlo methods for finance

16:30                 
Grigorios Papamanousakis (Aberdeen Asset Management): Multi-level Stochastic Valuations

17:00                 
Ye Yue (Tampere University of Technology) : News Impact on Variance Term Structure and Jumps

17:30                 
Hanxue Yang (Tampere University of Technology): Financial models, volatility risk, and Bayesian algorithms

Tuesday 15th of March 2016

Morning session

09:30                 
Dr. Luca Capriotti, Managing Director (Credit Suisse): AAD and PDEs: Real Time Risk Management of Callable products

10:15                 
Binghuan Lin (Techila Technologies): Distributed computing in finance

11:15                 
Kossi Kouma Gnameho (Maastricht University): Numerical Solutions of Backward SDEs

11:45                 
Grzesiek Kozikowski (The University of Manchester): Selection and implementation of high-performance platforms in finance: The end-user’s point of view

Afternoon session

13:30                 
Peter M. Phillips, President (Pathwise Solutions Group / Aon Benfield): The Push for Big Compute Forecasting in the Insurance Industry

14:15                 
Ahmad Salahnejhad Ghalehjooghi (Maastricht University): Time-Consistent & Market-Consistent Actuarial Valuations

15:15                 
Jun Hu (Tampere University of Technology): Efficient numerical methods on high-performance computing platforms for the underlying financial models

15:45                 
Jinzhe Yang (Aberdeen Asset Management): Real-time operation of financial risk models for hedging asset and liability exposure

16:15                 
Dr. Matthew Lightwood, Vice President (Risk & Capital Management Solutions / Conning Asset Management): Strategic Asset Allocation for Insurance Companies under Solvency II - From Model Specification to End Result