Drona Kandhai, professor by special appointment of Applied Informatics
Dr. D. Kandhai (1972) has been appointed professor by special appointment of Applied Informatics, with a specific focus on Computational Finance, at the University of Amsterdam’s (UvA) Faculty of Science. This chair was established on behalf of the Beta Plus Foundation.
In his research, Drona Kandhai focuses on quantitative finance and complex systems. His primary research interests are hereby on the use of data-driven microscopic simulations as a way to understand the complex behaviour of financial markets, and how to include the driving mechanisms in multi-scale models for derivatives pricing and risk management. Kandhai holds a PhD in Computational Science on the subject of numerical simulations of flow in complex media. For the past 15 years, he has been working in the domain of Computational Finance.
Kandhai is an expert in risk analysis of financial markets using advanced numerical and computational methods, and will combine his professorship with his position as head of the Amsterdam branch of the Quantitative Analytics team in ING’s Financial Markets division. His special chair forms part of the Computational Science Lab of the Informatics Institute. He will provide teaching in Computational Finance as part of the UvA MSc program in Computational Science and as elective in the MSc program in Stochastics and Financial Mathematics.
At ING Bank, Drona’s activities focus on mathematical modelling and numerical approximations for derivatives pricing and risk measurement. The role of sophisticated pricing and risk systems that embed a rich set of quantitative and predictive analytics methodologies is crucial for trading and risk management in financial markets. This is driven as well by the changing regulatory requirements and the rapidly changing landscape in which markets operate.
Kandhai has published extensively in various scientific journals, including the Journal of Computational Finance, the Journal of Quantitative Finance and Scientific Reports.