Two CWI scientists receive JCF Young Researcher Award

CWI scientists Dr. Anastasia Borovykh and Dr. Beatriz Salvador have received the JCF Young Researcher Award, granted by the Journal of Computational Finance. Both researchers were awarded for their outstanding work, which they presented during the International Conference on Computational Finance.

Publication date: 15-07-2019

CWI scientists Dr. Anastasia Borovykh and Dr. Beatriz Salvador have received the JCF Young Researcher Award, granted by the Journal of Computational Finance. Both researchers were awarded for their outstanding work, which they presented during the International Conference on Computational Finance (ICCF2019).

 

At the conference, Anastasia Borovykh presented her latest advancements in theoretical aspects of neural networks, and their applications in mathematical finance and other areas. More specifically, Borovykh focusses on time series, which helps predicting future financial quotes. When these series contain noise, neural networks can be used to curb misrepresentation of data. However, it is important to strike a balance between the complexity of the network’s learning ability and its ability to adjust market data. This requires the use of advanced mathematical tools, which is what Anastasia has researched in her work.

During her presentation, Beatriz Salvador proposed new models to assess the so-called counterparty risk. Counterparty risk is the likelihood or probability that one of those involved parties in a transaction might neglect or fail on its contractual obligations. This risk can exist in credit, investment, and trading transactions.

Both researchers were awarded during the closing ceremony of ICCF2019, which welcomed over 120 academic experts and professionals in the field of quantitative finance and its computational aspects. The award comprises a certificate and a cash prize of £500. The jury consisted of editors of The Journal of Computational Finance and other senior participants at ICCF2019.