NAGnews 163

Posted on
11 Jul 2019

In this issue:


Fast Implied Volatility Using Chebyshev Interpolation

Calculating Black-Scholes implied volatilities is a key part of financial modelling, and is not easy to do efficiently.

The benchmark in this field is the iterative method due to Peter Jaeckel (2015), though some banks have their own methods. NAG have teamed up with Dr Kathrin Glau and her colleagues from Queen Mary University of London to see whether their research in Chebyshev interpolation could be combined with NAG's expertise in efficient computing to provide a faster way of obtaining implied volatilities.

The result is a new implied volatility code which is roughly 3x faster than the Jaeckel algorithm.

For applications where a less accurate approximation is sufficient, there is a version of the code which is roughly 5x faster than the Jaeckel algorithm and gives results accurate to 6 decimal places.

The code is available to try independent of the NAG Library. To obtain a copy, just let know. The code will be in future releases of the NAG Library, but given how fundamental implied volatilities are, NAG appreciates that practitioners might want access to it sooner rather than later.

Learn more about it here.


Creating C++ Interfaces for the NAG Library

Following the success of the new suite of Python interfaces for the NAG Library, and motivated by some recent client discussions, we decided to investigate trying something similar for C++. Martyn Byng, NAG Principal Technical Consultant, blogged about this issue. In the first of his blog series he aims to give a flavour of what undertaking a project of this type at NAG involves and explains some of the thinking behind the various decisions made.

Read Part 1 here.

In Part 2, Martyn delves deeper into producing the interfaces.


Celebrating new academic talent - Latest Student Awards

NAG's Craig Lucas attended the SIAM-UKIE National Student Chapter Conference at the University of Manchester on the 10th-11th June where he judged and awarded NAG sponsored prizes for Best Talk and Best Poster.

The conference Best Talk was awarded to student Daniel Han. Daniel plans to complete his PhD in Applied Mathematics and continue an academic career in research and teaching.

Best Poster was awarded to student Jessica Forsythe. Jessica studied Medical Physics at the University of Sheffield prior to starting a PhD on the Wellcome Trust programme- Quantitative and Biophysical Biology, at the University of Manchester.

Congratulations to you both on your great work.

daniel-han-jessica-forsythe-nn163 (42K)


Discover 'Exascale Matrix Factorization: Using Supercomputers and Machine Learning for Drug Discovery'

NAG is a partner in the POP project who provide performance optimisation and productivity services for academia and industry - free of any charge if you're in the EU. In their recent learning webinar, they shed light on the ExCAPE project and how they've used the Bayesian Matrix Factorization technique. You will then see how the POP team gave them crucial insights into the scaling bottlenecks of their code and helped to remove them.

Watch the webinar here

exascale-matrix-factorization-nn163 (30K)


Honouring James H. Wilkinson FRS (1919-1986)

Extract from a blog post by Sven Hammarling, Nick Higham and Françoise Tisseur

The conference Advances in Numerical Linear Algebra: Celebrating the Centenary of the Birth of James H. Wilkinson, took place at the University of Manchester, May 29-30, 2019. The purpose of the conference was to discuss recent developments and future challenges in numerical linear algebra and to celebrate the centenary of the birth of James H. Wilkinson FRS (1919-1986).

Learn more about this special occasion


Out & About with NAG

Come and see us at various conferences and events over the next few months.

ICIAM 2019
Valencia, 15-19 July 2019

4th EAGE Workshop on HPC for Upstream
Dubai, 7-9 October 2019

The 15th WBS Quantitative Finance Conference
Rome, 16-18 October 2019

The Trading Show Europe
London, 17 October 2019

Quant Insights
London, 15 November 2019

Denver, 17-19 November 2019


Best of the Blog

Should your next job be as NAG's CEO? By Rob Meyer, NAG's current CEO

A couple of my colleagues tweeted recently about a topic that is probably top of mind for all of us when our organizations are hiring a new leader: who will be my next boss? Since we have just launched this recruitment to find my successor, I thought it was time to put in a few of my thoughts on the topic reflecting both what I've learned about NAG and myself in the last 20+ years. Read it here.