NEW APPLICATION FOR DATA MINING EVOLVING
Although financial markets today might seem to be ruled by emotion and speculation, there are ways to take a scientific approach to investing, especially with the help of high-performance computers. The rising fields of computational finance and financial engineering have yielded valuable tools being used on Wall Street in everyday trading.
On Monday, November 1, two Cornell University professors traveled to Wall Street to share recent research results aimed at improving such tools, as they launch the FISC Seminar Series at 55 Broad St.
FISC, the Financial Industry Solutions Center, is a joint venture between the Cornell Theory Center (CTC) and SGI dedicated to working with the financial community on solving challenging computational problems in risk management, financial engineering, and business intelligence. The introductory session in the FISC Seminar Series feature CTC director and computer scientists Thomas F. Coleman and Robert A. Jarrow, professor of finance and economics at the Johnson Graduate School of Management.
Coleman focused on computational methods to improve computer programs used to hedge against large-scale variability in futures portfolios. He discussed a generalized form one of the most famous equations in finance, the Black-Scholes equation, which earned its developers the 1997 Nobel Prize in economics. An expert in optimizing the performance of computational tools, Coleman is also serving as FISC director.
Jarrow presented a new method for estimating recovery rates and default probabilities implicitly from market prices. Recovery rates and default probabilities are essential inputs for quantifying credit risk and for pricing corporate debt and credit derivatives. Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at Cornell's Johnson Graduate School of Management. In 1997, he was named IAFE Financial Engineer of the year in recognition of his many contributions to the field.
The FISC Seminar Series is an ongoing event. A list of planned programs can be viewed at http://www.fisc-ny.com. Advance registration through the Web page is requested.
More information about CTC can be found at http://www.tc.cornell.edu.
SGI is located on the Web at http://www.sgi.com.