Directer Prof. Xuebin Chi and vice director Prof. Zhonghua Lu met Prof. Mark Broadie in room 506.They introduced the researches in the field of computational finance in SC and Columbia University respectively, and expected to have a deeper cooperation and communication on researches on computationl finance in the near future. 

At 15:30, Prof. Mark Broadie addressed a speech on computational finance on the tittle "Simulation and Calibration of Stochastic Volatility and Jump-Diffusion Option Pricing Models" in the conference room 508. In the speech, Prof. Mark firstly reviewed recent developments in the field and interpreted the shortages existed in traditional Black-Schloes Model, which is the revolutionary theory in modern finance that caused "the second revolution" in Wall Street. He then modified the model with another sotchastic process, called jump process. Using simulation method and real-time financial data,he presented perfect numerical results with many comparisions with Black-Scholes Model. In the end of his speech, computational challenges encountered in the field of computational finance were mentioned. 

The lecture lasted for about 2 hours and more than 20 researches and students, from Tsinghua University, Peking University, Institute of Software of CAS,Academy of Mathematics and System Sciences, etc, attended.

Prof. Mark Broadie is well known in the field of computational finance and has published many high-quality papers in top-level journals in the academic and industrial field of finance.Other than computational finance, Prof. Mark Broadie has a broad konwledge of computer science, mathematical finance, etc. His research interests cover financial derivatives valuation, risk management and portfolio optimization.His paper with Boyleand Glasserman "Recent advances in simulation for security pricing" was honored as a landmark paper in the four decades of the Winter Simulation Conference.

Computational finance is a cross-disciplinary field which relies on mathematical finance, financial engineer, numerical methods and computer simulation to make trading, hedging and investment decisions, as well as facilitate the risk management of these decisions.

With the fast development of chinese financial market, there will be more and more financial derivatives, such as options and futures, to meet different demands of investers in financial market. All these tools will be widely used by investers to avoid financial risk and make profits all the time, whenever the market goes up or down. So, nowadays in China, the researches on computational finance are quite necessary, especially in the fund management institutions, investment banks, etc. Our vitual laboratory of computational finance will actively improve and enlarge its influence in this field and strive for constructing the most attracting platform of high performance computing for both financial academy and business industry.