MATLAB Computational Finance Conference

Abstracts

Key Directions for MATLAB

9:10–10:00 a.m.
Dr. Roy Lurie, MathWorks

In this session, Roy presents his perspectives on key technologies and trends that are creating both challenges and opportunities in computational finance. He highlights trends in computational resources, quantitative analysis, system integration, and production deployment, and identifies how developments in MATLAB enable quantitative researchers and developers to stay ahead of their peers.

About the Speaker

Dr. Roy Lurie

Roy Lurie is head of MATLAB Development at MathWorks, responsible for the ongoing development and evolution of the MATLAB product family. These products include capabilities for parallel and GPU computing, application deployment, image processing, control systems, test and measurement, and computational finance and biology. He joined MathWorks in 1994 and has been a MATLAB user since 1989. As a young entrepreneur he founded MathWorks South African distributorship. He holds a Ph.D. in electrical engineering from the University of Witwatersrand in South Africa.

I Can Show You Some Great Derivatives Models, But Can You Crunch Them Fast Enough?

10:00–10:50 a.m.
Paul Wilmott, Wilmott Associates

Most valuation and risk management models for derivatives are minor tweaks of Black-Scholes. Black-Scholes is a great model, whereas some of the tweaks are a step in the wrong direction. However, there are a few models based on Black-Scholes that are closer to how derivatives are used in practice and that capture essential features previously ignored. These are great models, better than all the more classical tweaks. So far so good. The main problem stopping these models from becoming more popular is that they are just too difficult to solve numerically when you have a typical portfolio consisting of many underlyings and many different types of derivatives. Can this number-crunching problem be solved?

About the Speaker

Paul Wilmott

Dr. Paul Wilmott is a financial consultant, specializing in derivatives, risk management, and quantitative finance. He has worked with many leading U.S. and European financial institutions. Paul was a founding partner of the volatility arbitrage hedge fund Caissa Capital, which managed $170 million. His responsibilities included forecasting, derivatives pricing, and risk management. He is the proprietor of www.wilmott.com, the popular quantitative finance community web site, and creator of the quant magazine Wilmott and the Certificate in Quantitative Finance. Paul studied mathematics at St. Catherine’s College, Oxford, where he also received his D.Phil. He founded the Diploma in Mathematical Finance at Oxford University and the journal Applied Mathematical Finance. He is the author of Paul Wilmott Introduces Quantitative Finance (Wiley 2007), Paul Wilmott on Quantitative Finance (Wiley 2006), Frequently Asked Questions in Quantitative Finance (Wiley 2009), and other financial textbooks. He has written over 100 research articles on finance and mathematics.

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