NAG Quant Event, London 2009 Central London 22 October 2009

The Numerical Algorithms Group (NAG) and the finance publication Wilmott hosted a city seminar for finance industry professionals on 22 October 2009. Open to those working within the finance industry.

Speakers:

  • Nicholas J Higham ' The University of Manchester
    “Computing a Nearest Correlation Matrix with Factor Structure”

    In Many practical applications involving statistical modelling it is required to adjust an approximate, empirically obtained correlation matrix so that it has the three required properties of symmetry, positive semidefiniteness, and unit diagonal. Lack of definiteness can result from missing or asynchronous data, or, in the case of financial modelling, stress testing. We consider the problem of finding the nearest structured correlation matrix to a given matrix, concentrating on the case of factor structure. Factor structure arises in modelling collateralized debt obligations (CDOs) and also in factor models of multivariate time series. Some underlying theory is described along with practical algorithms and software solutions using the NAG Toolbox for MATLAB.
    For full details of the talk please click here.
    For the full recording of the talk, please go to here.

  • Mike Giles ' The Mathematical Institute, University of Oxford
    “Using GPU's for Computational Finance”

    The latest NVIDIA GPUs (graphics processors) have up to 240 cores on a single chip, and are fairly easily programmed using C/C++ with some extensions. In this talk I will discuss work with NAG to develop numerical routines for GPUs to generate pseudo-random and quasi-random numbers for use in Monte Carlo simulations, as well as my experiences in implementing simple 3D finite difference applications on GPUs. In both cases there is approximately a 10x improvement in speed, cost and energy efficiency compared to traditional servers with two quad-core CPUs. The potential of GPUs is underlined by Bloomberg's recent announcement that they are using 192 GPUs for pricing calculations, instead of buying 1000 new servers.
    For full details of the talk please click here.
    For the full recording of the talk, please go to here.

  • “NAG ' Recent developments from NAG”

    This talk will cover some of the topics listed below.

    • NAG Numerical Routines for GPUs
    • NAG Library for .NET
    • NAG and Excel
    • NAG Toolbox for MATLAB
    • New Algorithms
      • Global Optimisation
      • Option Pricing functions
      • Nearest Correlation Matrix
      • Wavelets

    For full details of the talk please click here.
    For the full recording of the talk, please go to here.

Venue: 7city Learning, 4 Chiswell Street, London EC1Y 4UP
Time: 6.00pm - 8.45pm

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