MATLAB Computational Finance Conference

Agenda

23 May 2013

Time

Sessions

8:00 a.m. Registration and Continental Breakfast
9:00 a.m. Welcome
9:10 a.m. Keynote: Key Directions for MATLAB
Roy Lurie, MathWorks
10:00 a.m. Keynote: I Can Show You Some Great Derivatives Models, But Can You Crunch Them Fast Enough?
Paul Wilmott, Wilmott Associates
10:50 a.m. Break and Exhibits
11:10 a.m. Analysis and Optimization of Derivative Portfolios with MATLAB
Bryan Liang, Bloomberg LP
Next-Generation MATLAB Analytics on the Web with MATLAB Production Server
Ameya Deoras, MathWorks

Master Class:

Optimization in MATLAB
Seth DeLand, MathWorks
11:50 a.m. MATLAB for the Masses: Deployment to External Clients
Peter Orr, Intuitive Analytics
Counterparty Credit Risk with MATLAB Production Server
Gabo Lopez-Cava and Brendan Hannigan, MathWorks
12:30 p.m. Lunch
1:50 p.m. Advanced Risk and Portfolio Management: A (Very) Visual Introduction
Attilio Meucci, Kepos Capital and SYMMYS
Machine Learning with MATLAB
Abhishek Gupta, MathWorks

Master Class:

Developing and Integrating Production Applications with MATLAB
Ameya Deoras and Eugene McGoldrick, MathWorks
2:30 p.m. Financial Model Validation Using MATLAB
Mudit Sachdev and Martin Hampel, Standard & Poor's
Seven Innovations Every Quant Should Know
Sri Krishnamurthy, MathWorks
3:10 p.m. Modeling Rational Turbulence
Kent Osband, RiskTick LLC
Portfolio Management and Analysis with MATLAB
Ian McKenna, MathWorks
3:50 p.m. Break
4:10 p.m. Evaluating Systematic Trading Strategies: Using MATLAB to Accelerate the Pace of Quantitative Research
Ben Steiner, Fischer Francis Trees & Watts
Thomson Reuters News Analytics: A Case for MATLAB Integration
Asif Alam, Thomson Reuters, and Stuart Kozola, MathWorks

Master Class:

Accelerating Your MATLAB Code
Yi Wang, MathWorks
4:50 p.m. Aspects of Risk Management for Variable Annuity Contracts
Eoin Elliffe, Lincoln Financial Group
A Real-Time Trading System in MATLAB
Yair Altman, Undocumented MATLAB
5:30 p.m. Break and Exhibits
5:50 p.m. Developer Panel
6:30 p.m. Closing Remarks
6:45 p.m. Networking Reception and Exhibits