MATLAB Computational Finance Conference 2014


The Bank of England’s Forecasting Platform: COMPASS, MAPS, EASE, and the Suite of Models

Matt Waldron, Bank of England

Economic forecasting is an important function of Monetary Analysis at the Bank of England, since it is an input into the Monetary Policy Committee’s (MPC’s) deliberations and a means of communicating their decisions in the "Inflation Report." Those forecasts are ultimately a matter of committee judgement, but that judgement is in part informed by model-based forecasts and analysis produced by bank staff. In 2011, bank staff completed a project to replace its macroeconomic forecasting platform with a new one, incorporating the flexibility to use multiple models within a new IT infrastructure built with MATLAB at its heart. In this session, Matt discusses the Bank of England’s use of MATLAB in building the MPC’s judgemental forecasts and in producing model-based analysis for the MPC.

New Developments in MATLAB for Computational Finance

Kevin Shea, MathWorks

In this presentation, Kevin identifies new developments in MATLAB with a computational finance focus. He highlights new features in derivatives pricing, econometrics, and portfolio optimisation, and how those features utilise core MATLAB improvements, statistics, and optimisation functionality. Kevin also discusses approaches for accessing third-party trading and analytics systems. The presentation concludes with thoughts from a computational finance perspective about future directions in MATLAB.

About the Speaker

Kevin Shea

Kevin is a principal software engineer and senior team lead for the computational finance development team responsible for the development of financial instruments modelling and analysis functionality in MATLAB. He was previously a consultant at MathWorks, working primarily with customers in the financial services industry. He is a CFA® charterholder.

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