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In the afternoon, July 9th, with the invitation of Vitual Laboratory of Computational Finance (VLCF), Supercomputing Center(SC), Computer Network and Information Center(CNIC), Chinese Academy of Aciences(CAS), Prof. Liuren Wu from Zicklin School of Business, Baruch College, City University of New York visited Supercomputing Center and addressed a professional lecture on computational finance.
Vice director Prof. Zhonghua Lu introduced Prof. Liuren Wu to the supercomputer room and showed him the current developments and applications of high performance computing we have made in the fields of astronomy, meteorology, chemistry, earthquakes and other disciplines . Directer Prof. Xuebin Chi welcomed him later. The two sides had a cordial conversation on computational finance. They introduced relevant researches on computationsl finance respectively and expected further cooperation in the nearer future.
At 15:30 in room 508, Prof. Wu addressed the speech on computational finance tittled "Computational Challenges in Option Pricing" . He introduced recent financial model framework, novel numerical methods, presented challenges in researches on computational finance and answered the audiences' questions carefully. Prof.Wu interpreted existed shortcomings and biases in present financial models via practical financial trading data, and designed novel framework to model financial asset price fluctuation via Time-changed Levy Process to model financial derivatives perfectly. Finally, Prof. Wu introduced practical numerical methods to solve their novel model efficiently and effectively. The numerical examples are perfectly presented.
After this wonderful seminar, most audiences had a better understanding of the framework of financial model, the novel numerical methods and the characteristics of financial research. They claimed that the address would help them with their further research work. Combining high-performance computing technology, Vitual Laboratory of Computational Finance in Supercomputing Center intends to make full use of computing resources and relative advantages to discover and solve practical large scale financial problem creatively. And VLCF expects to solve more challenging problems and have more chances of cooperation with financial industry.
Prof. Liuren Wu is an associate professor of economics and finance at Zicklin School of Business, Baruch College, City University of New York. Before he joined Zicklin in 2003, he was an assistant professor at Fordham University. Liuren's major research interests include option pricing, credit risk and term structure modeling, market microstructure, and general asset pricing. During the past six years, Liuren has published over 20 articles, many of them in top finance journals such as the Journal of Finance, the Journal of Financial Economics, and the Journal of Financial and Quantitative Analysis.Liuren has worked extensively as a consultant in the finance industry,including Bloomberg, Morgan Stanley, and several fixed income and equity hedge funds and options market makers. As a consultant, he has developed statistical arbitrage strategies, risk management procedures, and quantitative models for pricing fixed income and derivative securities.Several of his work received excellent remarks both in academic field and business industry.
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