Entrance hall of the ICMS Workshop

New Trends in Computational Finance and Related Topics

Apr 24, 2014 - Apr 25, 2014

ICMS, Edinburgh

April 24, 2014 - April 25, 2014  (mini-courses on April 23, 2014)


Organisers:  Lukasz Szpruch, (University of Edinburgh)
                 Goncalo dos Reis, (Technische University Berlin & University of Edinburgh)

The main purpose of the meeting is to gather experts from several communities (Numerical Analysis, Stochastic Analysis, Mathematical Finance, High Performance Computing) in an informal environment in order to provide a unique opportunity for the exchange of ideas, presentations and dissemination of new results. The topics under consideration include:

• High performance computing (HPC)
• Construction and analysis of new algorithms for non-linear equations in Finance (SDEs, SPDEs)
• Recent developments in BSDE's
• Monte-Carlo and related methods

This workshop is sponsored by NAIS (the Centre for Numerical Algorithms and Intelligent Software)


Confirmed Speakers include:

Lokman Abbas-Turki, (Technische University Berlin)
Denis Belomestny, (University of Duisburg-Essen)
Jean-Francois Chassagneux, (Imperial College London)
Mike Giles, (University of Oxford)
Emmanuel Gobet, (Ecole Polytechnique )
Lajos Gyurko, (University of Oxford)
Celine Labart, (University of Savoie)
Antoon Pelsser, (Maastricht University)
Gilles Pagès, (Universities of Paris 6 and 7)
Ruppa Thulasiram, (University of Manitoba)
Plamen Turkedjiev, (Ecole Polytechnique)
Stéphane Vialle, (SUPELEC)- Cancelled
Julien Guyon, (Bloomberg L.P.)
Paulwin Graewe  (Hombloldt University)




The workshop (24th and 25th April) will be held at 15 South College Street, Edinburgh. You may also find this map useful for the workshop. All lectures will be held in the Newhaven Lecture Theatre. The Lecture Theatre is equipped with a data projector, computer, visualiser and two blackboards. The projector and one board may be used simultaneously.

Minicourses on 23rd April will be held at Lecture Theatre A, James Clerk Maxwell Building (JCMB), Kings Buildings, Directions and Maps to JCMB are available here.

A taxi directly from the airport will cost approximately 16.00 to 20.00 GBP to the city centre for a one-way journey. There is also a bus service direct from the airport to the city centre which will cost 4.00 single or 7.00 GBP return - the Airlink 100. This is a frequent service (every 10 minutes during peak times) and will bring you close to Waverley Railway Station, close to the workshop venue (see map in 'Venue' section above).
Lothian buses charge £1.50 for a single, £3.50 for a day ticket. Please note that the exact fare is required and no change is given.
If travelling by train, please note that Edinburgh has two railway stations - Waverley Railway Station being the main station and closest to the workshop venue at 15 South College Street. If you alight at Edinburgh Waverley, the workshop venue is an easy 10 minute walk over North and South Bridge. The second railway station is called Haymarket and is at the West End of the city centre.
Please note that it is your responsibility to have adequate travel insurance to cover medical and other emergencies (volcanic ash disruptions) that may occur on your trip.

UK Visas
If you are travelling from overseas you may require an entry visa. A European visa does not guarantee entry to the UK. Please use this link to the UK Visas site to find out if you need a visa and if so how to apply for one.

• Invited Speakers: accommodation will be arranged by ICMS and full details will be emailed nearer the time of the workshop. Details of financial re-imbursement will be provided via email.

• Other Participants: there is limited funding to assist with travel/accommodation for post graduate students, early career and other researchers based in UK universities.  Registration is now closed.

The workshop venue, 15 South College Street, has wireless access throughout, both Eduroam and another network. On arrival at Registration you will be given instructions and a code for accessing the wireless network. For those without laptops, there will also be a couple of computers available for you to check your emails.

Registration is now closed.  If you wish to make a last minute request, please contact Dawn Wasley via email (Dawn.Wasley@icms.org.uk)



Please Note:

Minicourses on 23rd April will be held at Lecture Theatre A, James Clerk Maxwell Building (JCMB), Kings Buildings, Directions and Maps to JCMB are available here.

Meeting on 24th and 25th April will be held at ICMS. An abstract book for the meeting is available here.


Wednesday 23rd  April 2014, Lecture Theatre A, James Clerk Maxwell Building, Kings Buildings

Mini Course

Thursday 24th- Friday 25th April 2014, ICMS



Name Institution
Abbas-Turki, Lokman TU Berlin
Belomestny, Denis Duisburg-Essen University
Bilarev, Todor Humboldt-Universität zu Berlin
Buke, Burak University of Edinburgh
Chassagneux, Jean-Francois Imperial College London
Delivorias, Christos Tampere University of Technology
Dos Reis, Goncalo University of Edinburgh
Dzieciolowski, Jacek University of Edinburgh
Giles, Mike University of Oxford
Gnameho, Kouma Maastricht University
Gobet, Emmanuel Ecole Polytechnique
Graewe, Paulwin Humboldt-Universität zu Berlin
Guyon, Julien Bloomberg L.P.
Gyurko, Lajos Gergely Mathematical Institute, University of Oxford
kumar, chaman Edinburgh University
Labart, Céline LAMA
Lemaire, Vincent UPMC Paris 6
Lionnet, Arnaud Oxford University
Máté, Gerencsér
Mavros, George H-W University
Merheb, Julien SWIP
Miklos, Rasonyi School of Mathematics, University of Edinburgh
Ntakaris, Adamantios University of Edinburgh
Pages, Gilles UPMC (Univ. Pierre et Marie Curie)
Pelsser, Antoon Maastricht University
Pop, Remus University of Edinburgh
Rocke, Aidan Edinburgh University
Rodriguez Villarreal, José University of Edinburgh
Sabanis, Sotirios University of Edinburgh
Santacruz, Gerardo University of Edinburgh
Siska, David University of Edinburgh
Szpruch, Lukasz University of Edinburgh
Thulasiram, Ruppa University of Manitoba
Turkedjiev, Plamen Ecole Polytechnique
Yue, Ye Tampere University of Technology
ZHANG, XILING School of Mathematics, University of Edinburgh
Zheng, Chao