University of Rome, Masters Student wins NAG Financial Mathematics Prize
The Numerical Algorithms Group (NAG), provider of numerical software and HPC services is delighted to announce the winner of the NAG Financial Mathematics Prize (Spring/Summer 2010).
As an MSc student of the University of Rome Nicoletta presented her work using the NAG Toolbox for MATLAB at a financial mathematics seminar in Rome in 2009. After this seminar her supervisor, Professor Peter Laurence encouraged her to submit her work to NAG for the Financial Mathematics prize.
In her presentation she showed how the NAG Toolbox for MATLAB could be used for option pricing, plotting of volatility surfaces, simulate trajectories of random processes and compare results obtained through different methods. The zip-file contains a set of .m files, where some of them are standalone programs and some of them are the auxiliary files and a README.txt file which gives detail for each m-file.
Nicoletta is currently continuing her career as a PhD student and Teaching Assistant with the Department of Mathematics at ETH Zurich.
Her work won her a pass to the financial engineering conference Global Derivatives, Paris.
For more information on NAG's Student Awards visit http://www.nag.co.uk/about/student_awards/index.asp