Agenda

18:30

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Computational Finance is the art of modelling financial processes and then calculating fair values of financial instruments. There are intrinsically several traps which one should avoid. Different models for the underlying lead to different prices of derivatives. When models get too complicated there is the danger of spurious accuracy which may lead to a loss of robustness. Numerical methods for the valuation have to be chosen in such a way that they can handle the problem under consideration reasonably fast, with stability and robustnesss, and that includes the Greeks. In the calibration of models there is the danger of local minima or of instabilitites when many parameters have to be identified. We will give examples of risky horrors during the presentation.

19:45

Discussion, snacks and drinks.

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