Speakers: Andreas Binder, CEO, and Michael Aichiger, Key Researcher.
Abstract:
The European Extremely Large Teslescope (E-ELT) will go into operation in 2020 and will then, with its 40 meter mirror, be the largest ground-based telescope on earth. The Austrian Adaptive Optics Team (consisting of MathConsult, RICAM and the Industrial Math Institute) have been and are developing the mathematical algorithms for deblurring the deep space images by deformable mirrors. For certain applications in Adaptive Optics, these algorithms are 100- 1000 times faster than conventional methods and can therefore adjust the mirror on a kilohertz scale. Some adaptive optics results will be presented before turning to finance.
In computational finance, the challenges are similar:
- Data are changing rapidly, and only fast, stable and robust algorithms can meet the increasing requirements.
- It is often difficult to distinguish between information and noise. Improper methods may lead to artefacts.
- Different deep space objects (stars, planets) need various methods for their detection and explorationIn finance, valuation analysis, risk assessment and risk management get more significant explanatory power by applying a multi-method approach.
The speakers have been working on their book “A Workout in Computational Finance”, Wiley Finance (to appear in Q4 / 2012) for the last 18 months. It is their (you could name it) mission to present various numerical methods useful for the quant finance practitioner and to discuss their strengths and weaknesses. Some highlights of this book will be presented at Finance Focus.
