{"id":2,"date":"2015-12-10T23:08:57","date_gmt":"2015-12-10T22:08:57","guid":{"rendered":"http:\/\/performance.computationalscience.nl\/?page_id=2"},"modified":"2018-07-10T07:48:00","modified_gmt":"2018-07-10T06:48:00","slug":"sample-page","status":"publish","type":"page","link":"https:\/\/computationalfinance.computationalscience.nl\/","title":{"rendered":""},"content":{"rendered":"

Welcome to the website of the Computational Finance<\/strong><\/span> research theme at the Computational Science Lab<\/a>, Informatics Institute<\/a>, University of Amsterdam<\/a>\u00a0led by Prof. dr. Drona Kandhai.<\/p>\n

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Prof. dr. Drona Kandhai<\/a> 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 \u00a0extensive experience in a broad range of financial products and has worked in several departments of \u00a0ABN AMRO and ING Bank. \u00a0He 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\u00a0publications.<\/a><\/p>\n

Research Theme<\/strong><\/p>\n

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\u00a0multi-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.\u00a0This 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.<\/p>\n

We actively collaborate with\u00a0ING Bank,\u00a0<\/a>\u00a0Centrum voor Wiskunde en Informatica<\/a> (CWI), Delft Technical University<\/a>, Vrije University<\/a>, and KPMG\u00a0Netherlands.<\/a>\u00a0 We acknowledge the financial support of\u00a0Technologiestichting STW<\/a>, ING Bank,<\/a> KPMG\u00a0Netherlands<\/span><\/a>, and the EU<\/a>\u00a0for funding our research.<\/p>\n

For more information, see our\u00a0projects webpage<\/a><\/span>.<\/span><\/p>\n

\"\"\u00a0 \u00a0\u00a0<\/a> \"\"\u00a0\u00a0<\/a>\u00a0 \u00a0\"\"<\/a>\u00a0 \u00a0 \u00a0 \u00a0\u00a0\"\"<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"

Welcome to the website of the Computational Finance research theme at the Computational Science Lab, Informatics Institute, University of Amsterdam\u00a0led 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 … Continue reading <\/span> »<\/span><\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"page-templates\/full-width.php","meta":{"footnotes":""},"class_list":["post-2","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/computationalfinance.computationalscience.nl\/index.php?rest_route=\/wp\/v2\/pages\/2"}],"collection":[{"href":"https:\/\/computationalfinance.computationalscience.nl\/index.php?rest_route=\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/computationalfinance.computationalscience.nl\/index.php?rest_route=\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/computationalfinance.computationalscience.nl\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/computationalfinance.computationalscience.nl\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=2"}],"version-history":[{"count":49,"href":"https:\/\/computationalfinance.computationalscience.nl\/index.php?rest_route=\/wp\/v2\/pages\/2\/revisions"}],"predecessor-version":[{"id":236,"href":"https:\/\/computationalfinance.computationalscience.nl\/index.php?rest_route=\/wp\/v2\/pages\/2\/revisions\/236"}],"wp:attachment":[{"href":"https:\/\/computationalfinance.computationalscience.nl\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}