C(omp)++ | A Portal for the Computational Finance Community: quants

World renowned experts will be speaking at Quantitative Modeling & Financial Market Dynamics , to be held from 4-8 pm Oct. 31 at 7city Learning, 55 Broad Street. This first annual QuantDay event will be hosted by Numerical Algorithms Group (NAG), in conjunction with Wilmott magazine, 7city Learning and Quantstar.

Speakers at the QuantDay event include: Dr. Robert Tong – "Numerical Software, Market Data and Extreme Events."

Dr. Mike Giles (Risk Magazine’s Quant of the Year 2007 – “Multilevel Monte Carlo Path Simulation”

Dr. John Birge – “Dynamic Portfolio Optimization Using Decomposition and Finite-Element Methods”

Financial quantitative analysts and other financial industry managers can find more details on QuantDay seminars and/or register to attend this QuantDay event at http://www.nag.com/market/quantday2007.asp or by contacting Kurt Peckman, kpeckman@nag.com, 630-598-5216.

QuantDay is the first public Numerical Algorithms Group event for financial quantitative analysts to be hosted in North America, and is modeled after the popular NAG series for financial quantitative analysts in The City area of London.

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Speaker: Daniel J. Duffy, Datasim

Date and Time: Tuesday 26 June 2007, 18.30 to 20.30

Venue: City of London

Registration: contact Ilona Hooft Graafland

In this seminar we discuss how modern software design techniques are used to create applications in Computational Finance using C++ and C# as the implementation languages. We elaborate on the object-oriented and generic programming features that we employ to create robust and maintainable software systems for a range of derivatives applications such as equities and interest rates. In particular, we concentrate on PDE/FDM and Monte Carlo methods.

Some of the topics to be considered are: