Model Risk Seminar in Zurich
15-Jul-09, Zurich. Again, we had a sprited discussions with quant experts, who use already techniques, which are not so common in financial circles. For example the application of finite element (FE) techniques to solve complex models in their PDE form.
In the above picture you see in the left visualisation severe numerical instabilities due to areas with dominated convection. Only if applying streamline diffusion techniques with the FE approach one can expect a reasonable result (right graphic). The discussion went on after the official seminar end, .. what boundaries shall be chosen? What element types? .. again very motivating for the speakers, Andreas Binder and Michael Aichinger. We spontaneously decided to offer even more insight by creating seminar modules with a half day agenda and detailled explanation of techniques which we found the most promising, but also the hidden traps.