Agenda

15:30

Welcome

15:35

Presentation, This email address is being protected from spambots. You need JavaScript enabled to view it., UnRisk Consortium

  1. The Foundation. Pricing with ultra-fast numerical schemes: adaptive integration, streamline diffusion. LMM treatment. Calibration. Advanced parameter identification - an inverse problems view.
  2. Multiplied by Grid-Computing. High core utilization in multi-core machines and clusters. Parallelisation techniques derived from gridMathematica.
  3. A Clever handful is enough. Principal component application to VaR calculations.
  4. The UnRisk FACTORY in bank practice. The interaction of the grid-enabled pricing and calibration engine, transaction processing and the web. Deal types and models. Instrument and scenario groups. Task scheduling and monitoring. Interactive and batch valuations. Simulation. VaR. All verified with live valuations accessing a multi-core cluster.
  5. UnRisk FACTORY as a platform. Open architecture, generic services and a declarative environment. Integratability into the front-to-back-office process.
  6. UnRisk FACTORY in a Grid-Box.
16:45

Discussion and farewell champagne and snacks

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