Session: TU-A-DA
Computational Finance

Chair

Roberto Daluiso

Time

11:30 - 13:30 on Tuesday, 17th of July 2018

Venue

Davis

11:30

The Evaluation of Gas Sales Agreements with Indexation using GPUs

Wenfeng Dong (University of York), Boda Kang (University of York)
12:00

Stochastic Grid Bundling Method for Backward Stochastic Differential Equations

Ki Wai Chau (Centrum Wiskunde & Informatica), Cornelis W. Oosterlee (Centrum Wiskunde & Informatica)
12:30

Geometric Learning and Filtering in Finance

Anastasis Kratsios (Concordia University), Cody Hyndman (Concordia University)
13:00

Second order sensitivities in linear or constant time

Roberto Daluiso (University of Milano-Bicocca)