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Module D - Quantitative Methods in Finance

Project D3 - Computational Financial Economics

This project will develop powerful computational methods for investigating portfolio choice and asset pricing. Current limitations in computational methods restrict investigations of portfolio choice and equilibrium asset pricing to highly stylized models of real world financial situations.

The project leaders bring expertise in the computational approach and an objective to develop tools geared towards industry-relevant financial applications. By developing better computational tools, the project will extend existing equilibrium models in a number of ways, including the modeling of heterogeneous incomes and tastes, and of asymmetric information.

Another limitation currently confronting financial economics is the validation of certain assumptions underlying the use of general equilibrium models. The project will explore the model conditions under which multiple equilibria may occur. Given the ubiquity of general equilibrium models in modern economics, this kind of theoretical validation work is of key importance to field.

The field of financial economics is enjoying a significant boost thanks to the greater availability of powerful computers. In this regard, the project will benefit from access to some of the best computing infrastructure in Europe including new supercomputers at the University of Zurich and at newly completed Swiss national facilities.

Felix Kubler and Karl Schmedders enjoy strong academic links with the US and throughout Europe, and plan to host two international conferences focusing on the challenges facing computational finance. This should attract excellent research talent to the project, including students from the Swiss Doctoral Program in Finance.

Research Team

Leader
Prof. Felix Kuebler
+41 44 634 41 06
felix.kuebler@bf.uzh.ch
University of Zurich
Senior Researchers and Post Docs
Dr. Walter Pohl +41 44 634 37 83 walter.pohl@business.uzh.ch
Dr. Simon Scheidegger +41 44 634 41 26 simon.scheidegger@uzh.ch
Prof. Karl Schmedders +41 44 634 37 70 karl.schmedders@business.uzh.ch
Doctoral Students
Kristoph Steikert +41 44 634 39 30 kristoph.steikert@bf.uzh.ch
Associated Participants
Prof. Aloisio Araujo +55 21 2529 5140 aloisio@impa.br
IMPA, Rio de Janeiro, Brazil
Prof. Thomas Cosimano +1 574 631 5178 thomas.f.cosimano.1@nd.edu
University of Notre Dame, USA
Prof. Michael Ferris +1 608 262 4281 ferris@cs.wisc.edu
University of Wisconsin, USA
Prof. Kenneth Judd +1 650 723 5866 judd@hoover.stanford.edu
Stanford University, USA
Prof. Dirk Krueger +1 215 898 6691 dkrueger@econ.upenn.edu
University of Pennsylvania, USA
Prof. Paul Willen +1 617 973 3149 Paul.Willen@bos.frb.org
Federal Reserve Bank Boston, USA
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  The National Centres of Competence in Research (NCCR) are a research instrument of the
Swiss National Science Foundation.