using NAG software - Numerical Algorithms Group
using NAG software - Numerical Algorithms Group
using NAG software - Numerical Algorithms Group
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Use of <strong>NAG</strong> Software in Finance<br />
• Portfolio analysis / Index tracking / Risk management<br />
<br />
Optimization , linear algebra, copulas…<br />
• Calibration / Economic Scenario modelling<br />
<br />
Optimization<br />
• Derivative pricing<br />
<br />
PDEs, RNGs, multivariate normal, …<br />
• Fixed Income/ Asset management / Portfolio<br />
Immunization<br />
<br />
Operations research<br />
• Data analysis<br />
<br />
Time series, GARCH, principal component analysis, data smoothing,<br />
…<br />
• Monte Carlo simulation<br />
<br />
• ……<br />
RNGs<br />
<strong>Numerical</strong> Excellence<br />
16
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