Rahoitustekniikka (Financial Engineering)

Financial engineering is the application of mathematical, numerical and computational models and methods with extensive data sets to the solution of problems in finance. Banks, insurance companies and other financial institutions apply the models and methods to risk management, derivatives hedging, valuation and trading, among others. Corporations need models and methods to manage risk on commodities, exchange rates, and interest rates.

We stand at the crossroads of financial engineering and computing using computational methods with an emphasis on extensive use of real data providing robust and realistic solutions. We think that dissatisfaction with traditional approaches - which make unrealistic assumptions for the sake of soluble theoretical models over agreement with empirical data - will further increase. The use of advanced volatility and interest rate models to capture stylized facts are considered in the context of derivatives pricing and trading and risk management. Our approach has the advantage that with superior computing power we can relax unrealistic assumptions, because we are not limited to achieving analytical tractability; consequently, we can operate more successfully - and safely. The intended research is not only academically but also practically relevant. We do research also in the areas of real investments and diffusions of innovations.

We are coordinating an international research and training program HPCFinance. It is a 4-year multi-site Marie Curie Initial Training Network, funded by the European Commission within the 7th Framework Programme and has started on May 1, 2012. The budget is 4,101,000 EUR. The network aims to proactively train young people to respond to the future requirements in financial industry. The academic and private sector partners will, in close cooperation, develop, integrate, and implement the most realistic and effective financial models on high-performance computing platforms. The ultimate goal is to help to improve the financial strength of banks, pension funds, insurance companies, other financial institutions and households in Europe. For more information, see www.hpcfinance.eu.