Welcome to the website of the Computational Finance research theme at the Computational Science Lab, Informatics Institute, University of Amsterdam led by Prof. dr. Drona Kandhai.

Prof. dr. Drona Kandhai is head of the Quantitative Analytics department of Financial Markets in ING Amsterdam. He is also professor in Computational Finance at the Computational Science Lab of the University of Amsterdam. Drona has been active in the financial industry for more than 15 years where he has worked on pricing and risk model validation, development and integration in IT systems. He has  extensive experience in a broad range of financial products and has worked in several departments of  ABN AMRO and ING Bank.  He holds a PhD in Computational Physics from the University of Amsterdam on the subject of numerical modelling and simulation of complex fluid flows. A list of his research papers can be found in publications.

Research Theme

The main focus of this research theme is on advanced data-driven modelling and analytics, the formulation of efficient numerical algorithms on high-performance computing technologies and microscopic simulations in the context of pricing and risk measurement and the stability of financial derivatives trading. These methodologies are applicable to financial risk modelling in general. Our multi-scale and holistic approach where interdependent risk factors such as market, credit and liquidity risk are modelled simultaneously and at different interconnected scales, is crucial in understanding the complexity of today’s financial markets. This has become even more urgent and complex recently, as the credit crisis has clearly demonstrated the role of cascading effects going from single instruments through portfolios of single institutions to even the interconnected trading network.

We actively collaborate with ING Bank,  Centrum voor Wiskunde en Informatica (CWI), Delft Technical University, Vrije University, and KPMG Netherlands.  We acknowledge the financial support of Technologiestichting STW, ING Bank, KPMG Netherlands, and the EU for funding our research.

For more information, see our projects webpage.