Presented by: 
Luis Ortiz Gracia (CRM Barcelona)
Mon 2 Nov, 2:00 pm - 3:00 pm
Steele Building (03), room 262

I will present some of the current and most challenging problems in computational finance, ranging from option pricing to market and credit risk measurement. Within the option pricing context, robust, fast and accurate numerical methods are necessary to calibrate the pricing models with market data. Further, the financial companies must manage and measure the risk originating from their business activities, being the market and credit risk two of the most important risks that they have to account for. We tackle these problems with different families of wavelets and we come up with efficient solutions due to the local approximation features of these functions.