NAG Finance Events

NAG’s involvement with the finance industry grows rapidly with NAG’s Library of algorithms for finance embedded within hundreds of finance applications around the world.

NAG’s prominence as a supplier to the finance industry has evolved to such an extent that it regularly hosts events for finance professionals. The calibre of presenters attracted to NAG’s events is testimony to our ongoing commitment to academia and industry. Links to previous presentations given at past NAG finance events feature below.

Register your interest with us.

If you’d like to register your interest in attending the next NAG Finance event simply email us. Alternatively sign up to our e-newsletter, NAGNews where we regularly feature event details.

Past Events

NAG Quant Day, House of Finance, University of Frankfurt
26 January 2010
Presentation 1: Asset Prices in General Equilibrium with Transactions Costs and Recursive Utility - Adrian Buss, Raman Uppal and Grigory Vilkov
Presentation 2: Fast Greeks by Automating the generation of first- and higher-order adjoints / The Art of Differentiating Computer Programs - Algorithmic Differentiation - Why and How? - Uwe Naumann

NAG Quant Event, London 2009, Central London
Venue: 7city Learning, 4 Chiswell Street, London EC1Y 4UP
Date: 22 October 2009
Time: 6.00pm - 8.45pm
NAG and the finance publication Wilmott are hosting a city seminar for finance industry professionals.

NAG Financial Mathematics Day
6 November 2009
Manchester Business School - University of Manchester
NAG's Financial Mathematics Day is primarily for Academics involved in teaching and research related to financial mathematics. The day is split with a mix of lectures and "hands on" use of NAG software.
For more details including online registration visit the event timetable/registration page.

Financial Mathematics Day – NAG and Manchester Business School, University of Manchester
6th February 2009.
Location: Lecture Room 2.4., MBS West. Manchester Business School, Manchester University.
For directions, please visit http://www.mbs.ac.uk/aboutus/mbs-west.aspx.

This event is primarily aimed at Academics involved in teaching and research related to financial mathematics. The day will be split into a series of lectures.

The planned lectures will include:

The NAG Toolbox for MATLAB
Using Excel, Visual Basic and NAG's Numerical Libraries
NAG's new Option Pricing Functions
NAG's Optimization Material
The Nearest Correlation Matrix and applicability to finance

NAG & Wilmott Quant Day 2008
Quantitative Modelling & Financial Market Dynamics
London - 21 February 2008
http://www.nag.co.uk/Market/NAG_Quant_Day_London_2008.asp

Presentations:

“Interest rate models for asset liability management”Ser-Huang Poon - Manchester Business School, University of Manchester http://www.nag.co.uk/market/Poon_Interest_Rate_Models.pdf
“Risk modelling, portfolio optimisation and performance backtest” Ely Klepfish - UBS AG http://www.nag.co.uk/market/Klepfish_Risk_modelling.pdf
“Multilevel Monte Carlo Path Simulation” Mike Giles - Mathematical Institute, University of Oxford http://www.nag.co.uk/market/nag_giles_08.pdf

NAG & Wilmott Quant Day 2007
New York – 31 October 2007
http://www.nag.co.uk/market/quantday2007.asp

Presentations:

“Numerical Software, Market Data and Extreme Events”Dr Robert Tong, NAG http://www.nag.co.uk/market/NumSoftw_MarketData_ExtremeEvents.ppt
“Multilevel Monte Carlo Path Simulation” Dr Mike Giles, Oxford University Computing Laboratory http://www.nag.co.uk/market/nag_giles.pdf
“Dynamic Portfolio Optimization using Decomposition and Finite-Element Methods” Dr John Birge, Co-Founder of Quantstar, University of Chigaco http://www.nag.co.uk/market/birge_quantdays2007_dynamicportfolios.ppt

NAG & Wilmott Finance Seminar 2006
London – 13 December 2006
http://www.nag.co.uk/market/NAG_Wilmott_Event.asp

Presentations:

“Singular perturbation problems arising in mathematical finance: fluid dynamics concepts in option pricing” Peter W Duck - University of Manchester http://www.nag.co.uk/market/Peter_Duck_Presentation.pdf This lecture is available as Audio/Visual or as MP3 Audio. Visitwww.wilmott.com/detail.cfm?articleID=259.
“Software issues in wavelet analysis of financial data” Dr Robert Tong - NAG http://www.nag.co.uk/market/Robert_Tong_Presentation.pdf To view this lecture in visual/audio, visit http://www.wilmott.com/detail.cfm?articleID=261.
“Can you count on your correlation matrix?” Nicholas J Higham - University of Manchester http://www.nag.co.uk/market/Nick_Higham_Presentation.pdf

Oxford Centre for Computational Finance Events
sponsored by SUN, IBM, Reuters, NAG, and Moneyline Telerate

NAG was a founding collaborator in the Oxford Centre for Computational Finance (OCCF) http://www.occf.ox.ac.uk/ launched in 2001. The OCCF’s mission was to support the world's financial markets through development of mathematical theory. The research activities of OCCF have now been merged into the Mathematical and Computational Finance Group. During its time the OCCF collaborators hosted a run of successful finance seminars. Presentations (where available) given at the seminars feature below.

7^th OCCF City Seminar
London - 28 February 2006
http://www.occf.ox.ac.uk/seminars.html

Presentations: