Considerable compute time savings can be realised by applying multilevel Monte Carlo for financial calculations. Join Risk.net quant-of-the-year, award-winning Professor Mike Giles, as he explains and illustrates three applications, including
- Option pricing
- Reduced precision computation exploitation
- VaR and CVaR estimation in risk calculations
What's Next With the Nearest Correlation Matrix?
Professor Nick Higham and NAG present the latest advances in the Nearest Correlation Matrix and see how using the NAG® Library symbolic adjoint NCM solver can dramatically reduce the runtime and memory footprint required to compute derivatives of the NCM.
The 7 Sins of Mathematical Optimization (and How to Avoid Them)!
Watch NAG’s mathematical optimization team as they present the 7 mathematical optimization sins, resulting in errors, inefficiency, and increased costs. Learn how to avoid common pitfalls when using mathematical optimization techniques, and how to get the most from optimization solvers!
Calibrate models faster and improve performance 20%+ with DFO
Calibrating the parameters of complex models can be difficult, particularly when the model is both expensive and noisy, in such cases the model derivatives are not readily available. Join NAG colleagues Jan Fiala and Benjamin Marteau as they present Derivative Free Optimization (DFO), a novel technique to tackle optimization without derivatives, demonstrated on the stochastic volatility Heston with term structure model.
Industry Use of HPC: The Standpoint of SMEs
See NAG CEO Adrian Tate discuss the HPC industry landscape for European SMEs in the ETP4HPC on-demand webinar
Modern modelling techniques in convex optimization and its applicability to finance and beyond
Nowadays there is a wide range of optimization solvers available. However, it is sometimes difficult to choose the best solver for your model to gain all the potential benefits. Convex optimization, particularly Second-order Cone Programming (SOCP) and Quadratically Constrained Quadratic Programming (QCQP), saw a massive increase of interest thanks to robustness and performance. A key issue is to recognize what models can be reformulated and solved this way. This webinar introduces the background of SOCP and QCQP, and reviews basic and more advanced modelling techniques. These techniques are demonstrated in real-world examples in Portfolio Optimization.
Tools and Application Performance Profiling - [54 minutes]
This webinar provides provides an overview of the available methods for profiling HPC applications. You'll learn about the different analysis approaches and where they should be used. The primary focus will be on the analysis of parallel application performance (MPI and OpenMP) but we will also cover single thread performance (efficient memory use, I/O analysis etc.) Examples will be shown using various profiling tools, however no prior knowledge of these tools is assumed. Following the webinar you can expect to have an understanding of the available types of profiling tool, and how to choose an appropriate tool to diagnose potential performance issues in their own applications.
3x Speed Improvement of a CFD Solver - Case Study Webinar [37 minutes]
This webinar covers: that the POP project and Zenotech undertook to investigate the performance of zCFD. An initial Performance Audit using Intel's VTune Amplifier performance profiler identified several areas of potential improvement, which Zenotech went on to address in a POP Proof-of-Concept (PoC) study. As a result of the PoC, zCFD ran 3x faster on a representative input case.
Getting started with the NAG Library for Python [25 minutes]
This webinar covers: A short tour of the documentation of the new package; the installation guide; 'Quick Start' - solving an optimization problem; and gives further examples from maths and stats.
How to identify and quantify causes of MPI underperformance using the Intel Trace Analyzer and Collector (ITAC) [37 minutes]
This webinar will introduce how ITAC can help you understand MPI underperformance, describing a systematic way of using ITAC to identify and quantify sources of parallel inefficiency in MPI code.
- How to identify and quantify causes of MPI underperformance using the Intel Trace Analyzer and Collector
Verification and modernisation of Fortran Codes using the NAG Fortran Compiler [35 minutes]
This webinar shows how the NAG Fortran Compiler can be used to write correct and performance portable code which is not always possible with other compilers. By strictly adhering to the language standard, this makes the code portable to other compilers.
Identifying causes of poor OpenMP parallel performance using the Intel® VTune™ Amplifier [40 minutes]
This webinar is aimed at anyone who wants an introduction to using VTune to understand the causes of OpenMP underperformance. It describes a systematic way of using Intel’s VTune Amplifier to identify the sources of parallel inefficiency in OpenMP code, e.g. load imbalance, serial execution, OpenMP overheads and slowdown in processor throughput.
Benchmarking as the answer to HPC performance and architecture questions [45 minutes]
An impartial look at benchmarking of HPC systems by Andrew Jones (@hpcnotes), NAG VP Strategic HPC Consulting & Services.
The Role of Matrix Functions [30 minutes]
Matrix Functions are playing an increasingly important role in science, finance and engineering. Dr Edvin Hopkins presents this 30-minute recorded webinar covering a variety of Matrix Functions related topics.
Change Point Analysis and What's New in Mathematical Optimization from NAG [1h 39 minutes]
This video is a recording on our City Lecture event 'Financial Time Series - Change Points, structural breaks, segmentations and other stories' presented by Dr Rebecca Killick, University of Lancaster and 'What's New in Mathematical Optimization from NAG' by Jan Fiala and Benjamin Marteau.
Nearest Correlation Matrix [30 minutes]
Learn how to calculate the Nearest Correlation Matrix in this 30 minute webinar presented by NAG expert Dr Craig Lucas. In the webinar he teaches how to deal with the issues in forming a nearest correlation matrix from read data including:
How issues with data can lead to approximate correlation matrices
Cover some theoretical approaches
Explain how to use a set of alternative specialized routines to compute true correlation matrices, while fixing some of the original entries
Features practical examples using Python
Q & A
Algorithmic Differentiation [40 minutes]
Learn about Algorithmic Differentiation (AD) with this webinar recording from numerical experts at NAG (Numerical Algorithms Group) who provide the world renowned NAG Library and HPC and Numerical Services including an AD Software Tool. In this webinar you will watch:
An introduction to Algorithmic Differentiation (AD)
Two modes of AD
Discuss how AD works
AD advantages and disadvantages
NAG AD Tool Support
Q & A
- Algorithmic Differentiation on YouTube
NAG, optimization and finance [2 webinars: 11 minutes, 15 minutes]
This webinar discusses the use of the NAG Library for optimizing financial portfolios. Part 1 introduces optimization and illustrates the importance of choosing the appropriate algorithm by using the so-called Rosenbrock function to compare the performance of a NAG routine and a simpler but less sophisticated algorithm. Part 2 briefly explains the Markowitz model as a method for obtaining portfolios that correspond to a given return with minimum risk, and presents demos which implement this method in Excel® and MATLAB® by calling NAG routines.
See also this webinar, which explains in more detail how to call NAG routines from Excel in order to perform portfolio optimization.
NAG routines for ARIMA time series analysis in a .NET application [5 minutes]
This webinar demonstrates the use of the NAG Library in an application for time series analysis.
- View ARIMA on YouTube
NAG routines for Global Optimization from MATLAB™ [5 minutes]
This webinar demonstrates the use of the NAG Library to solve Global Optimization problems.
- View Global Optimization on YouTube
Use of Reverse Communication techniques for NAG routines [5 minutes]
This webinar makes use of a routine for finding roots of transcendental equations to show how to use reverse communication techniques from within Excel.
- View Reverse Communication on YouTube
Calling NAG routines from Excel [2 Webinars: 10 minutes]
These webinars demonstrate the ability to call routines from the NAG Library within Excel. Portfolio Optimization and Option Pricing examples are provided.