Computational Finance provides a large set of theoretical and applied tools that range from pure branches of mathematics, like geometry, to more applied areas, as numerical analysis and simulation, with the objective to deeply understand and solve current problems in finance.
The complexity of today's financial products and markets has increased tremendously, with the urgent need for advanced analytical and numerical methods and high-level mathematical skills. A rigorous analysis of contemporary finance relies on stochastic calculus with its rich mathematical structure martingale theory, Itô calculus, stochastic integration and PDEs. However, aside from a very few cases with analytical solution, financial problems wind up with a study that requires robust techniques of numerical analysis and computation.
We believe that collaboration between mathematical finance and computational scientists, researchers and practitioners in finance and economics can be very fruitful. The organizers of the International Conference on Computational Finance 2017 (ICCF 2017), that took place in Lisbon, aimed to foster such collaboration.
Lisbon ICCF 2017 was the second of a biennial series of conferences in Computational Finance launched by the consortium of the European project FP 7 Marie Curie ITN STRIKE – Novel Methods in Computational Finance 2013–2016. The first edition took place in December 2015 at the University of Greenwich.
The present volume collects a set of original papers based on plenary lectures and contributed talks, from thematic sessions and mini-symposia, presented at ICCF 2017. The editorial committee expresses its deep gratitude to those that contributed with their works to this volume and to the anonymous referees that reviewed them.
We are grateful to the scientific and organizing committees of the International Conference on Computational Finance 2017, as well as to the plenary lecturers, mini-symposia organizers and all the participants; their presence and their work formed the main contribution for the success of the conference. Our special appreciation goes the editorial people from IJCM – International Journal of Computer Mathematics respectively, for their continuous support and active interest in the development of this project.
We thank our main financial supporters: Energia de Portugal and Luso-American Development Foundation; and, also, Banco de Portugal, Câmara Municipal de Sintra, CTT, Delta and EY.
Our gratitude goes to the academic institutions Instituto Superior de Economia – Lisbon School of Economics and Management – and Centro de Matemática Aplicada à Previsão e Decisão Económica – that hosted the conference and provided unreserved support on facilities, staff and logistics. A special thanks goes to Andreyna Caires for her secretary work and constant support.
We sincerely hope that this volume will be a positive contribution to the literature in Computational Finance.