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QuantDay 2008
Dynamic Finance: Optimization, Hardware & Logistics
30 April 2008 - Chicago

This event for the financial community, QuantDay 2008 was presented by NAG, Quantstar, and Microsoft.

The event was held from 4:15 to 6:30 PM at the W Hotel, 172 W Adams (map), just a few blocks from the Chicago Board of Trade.

In addition to the program of world-class speakers as outlined below this event featured a cocktail reception from 6:30 PM to approximately 7:30 PM following the last presentation.

Dynamic Finance: Optimization, Hardware & Logistics

3:45 Registration and Check In: QuantDay 2008

4:15 Welcome & Opening Comments

4:20 Dynamic Portfolio Optimization using Decomposition and Finite-Element Methods

Dr. John Birge, Co-Founder of Quantstar, University of Chicago GSB
Abstract: In dynamic environments, asset allocations based on static portfolio models can lead to excessive transaction costs or significant imbalances. Dynamic portfolio allocation can provide improved performance by balancing transaction costs with efficient allocation and response to market conditions and benchmark positions. The resulting models can quickly become quite large and complex, requiring some form of approximation for solution. This talk will describe the range of potential approximation methods and in particular will focus on serial decomposition using global value function outer approximation and on solution of the corresponding variational inequality using a finite-element approach with high-order basis functions.

4:55 Q&A Session for Presentation #1

5:00 Set up for Technical Presentation #2

5:05 The Emerging Computational Toolbox for the Financial Engineer

David Dorfman, Solution Specialist, Microsoft High Performance Computing
Abstract: As a leading technology provider Microsoft is investing in tools and platforms for computational modeling in support of Financial Engineering. This presentation will cover an array of new technologies and capabilities emerging from Microsoft and the Industry to improve the performance of computational models and the productivity of the model builders. At the conclusion of the presentation the audience will have been exposed to a number of new concepts and products that provide near term benefits to the Financial Engineer.

5:30 Q&A for Presentation #2

5:40 Break & Set up for Presentation #3

5:50 Out of the Chaos: A Quality Process for Algorithmic Finance

Ben Van Vliet and Dr. Andy Kumiega, Institute for Market Technology, IIT Stuart School of Business
Abstract: Quality, first demonstrated by W. Edwards Deming, addresses defects and their costs in manufacturing processes.  Through the quality revolution of the mid-20th century, high quality firms that reduced defects and reduced waste became low cost producers, and gained market share.  In finance, defects come with sometimes enormous costs, costs that are priced in to spreads and fees.  But very often these errors are due not to the underlying mathematics, but rather to issues of quality in the design, implementation and management of mathematical algorithms and technological systems.  With process and with quality, financial firms can reduce errors and reduce waste, and gain market share.  In our session we will address the topic of algorithmic finance, and therefore the sub-prime crisis, from the perspective of process engineering by way of a new process control methodology.

6:25 – Q&A for Presentation #3 & Closing Remarks

6:30 – Cocktail Reception

NAG has a rich, 30-year history of collaboration in a variety of sectors, one of which is Finance. NAG software components underpin the models and applications for many of the world's most prominent financial institutions – and this event is a natural extension of our ongoing collaborative relationships within this sector.