In the business area Computational Finance, Fraunhofer SCAI develops efficient and robust algorithms for financial mathematics. The field of applications includes
- the valuation of financial and physical assets,
- the calculation of sensitivities and hedging strategies (risk management strategies used by short- to medium-term oriented traders and investors to hedge against unfavorable market developments),
- risk measurement and risk management, and
- big data analysis, for example, for market data or blockchain data.
For these fields of application, classical numerical methods such as (quasi-) Monte Carlo methods, techniques for the discretization and solution of partial differential equations or graph algorithms, and machine learning methods are used.