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Aims and Scope

Financial analysis techniques have become fundamental tools for firms management, regulation and control since the Nineties; the models for values and risks evaluation must be consistent with the ones that are employed in capital market - "market-consistent evaluation". The discussion arisen from the financial crisis has highlighted that this methodological approach is mandatory for accurate and reliable companies financial management.

The high complexity of computations needed to properly estimate values and risks in this framework and the need to perform timely measurements in order to carry out continuous verifications require advanced computing architectures, able to guarantee reliable results and efficient information exchange. The critical issue is the lack of complex valuation systems whose development requires high-quality data, methods, algorithms and software for design and manufacturing of powerful computation-oriented database management systems, simulations and models validation.

The development, the use and the maintenance of such a system requires a connection between theory, computational schemes and data management and, therefore, a synergy between people with different skills in finance, in modelling, in computational mathematics and in computer science. Moreover, a synergy with regulators is also needed in order to control the appropriateness of the data quality and the used models as well as the accuracy and efficiency of computation and the adequacy of the IT infrastructure.

The focus of the workshop is on the computational issues in the evaluation of financial instruments on advanced architectures.

The workshop is intended to bring together academics, decision-makers and strategists from the financial industries and regulators from supervisory authorities in order to discuss recent challenges and results in using high-performance technologies for the evaluation of financial instruments.

We expect the workshop provides a contribution both to the advance of knowledge in the computational finance field and to the effective solution of financial problems by the application of innovative ideas of other research areas, such data processing, numerical analysis and high performance computing.

Department of Statistics and Mathematics for Economic Research - University of Naples ''Parthenope''