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In the afternoon, Dec. 9, with the invitation of Computational Finance Laboratory of Supercomputing Center, Computer Network and Information Center, Chinese Academy of Sciences, Prof. Thomas F. Coleman from University of Waterloo visited Computational Finance Laboratory of Supercomputing Center and given a talk on applications of high performance computing in portfolio optimization.
Dr. Zhonghua Lu, Vice director of Supercomputing Center, and Dr. Qin Liu, Director of Computational Finance Laboratory, met Prof. Thomas F. Coleman in room 506. They respectively introduced the ongoing researches in the field of computational finance in Supercomputing Center and University of Waterloo, and expected to have a deeper cooperation and communication on researches on computational finance in the nearer future.
At 16:00, Prof. Thomas F. Coleman addressed the speech on computational finance on the title "High Performance Computing in Portfolio Optimization------Fast Portfolio Computation" in the meeting room 508. Prof. Coleman introduced the increasing demand for high performance computing in financial institutes at Wall Street due to the intense market competition, interpreted the computational framework of portfolio optimization, showed how to study the practical problems using "brain" and "brawn", and finally demonstrated the practical application of cluster computing in financial engineering. The lecture lasted for about 2 hours and researches from Academy of Mathematics and System Sciences, Great Wall Securities, Donghai Securities, etc, attended.
Thomas F. Coleman is now dean of Faculty of Mathematics and professor in Combinatorics and Optimization at University of Waterloo. Professor Coleman's research program is concerned with the design and understanding of practical and efficient numerical algorithms for continuous optimization problems. His specific interests include the computation of implied volatility surfaces from option prices, hedging techniques, index tracking, portfolio optimization, and the use of parallel computing techniques in computational finance. He had been director of Cornell Theory Center, director of Cornell Computational Finance Institute and director of Center for Applied Mathematics at Cornell University and chair of SIAM Activity Group on Optimization.
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