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Numerical Algorithms Group's Blog

Helping primary school children achieve the best in their SATs

June 25, 2015 Comments (0)

My wife Caroline is a teacher in a primary school near where we live in Buckinghamshire. She teaches year 6, that is to say, ten to eleven year old children. Now, year 6 is a rather important year in British schools. Children following the National Curriculum in state-funded schools are subject to SATs (standard assessment tests) before they move on to secondary school, and the results of these tests are used to create the dreaded league tables which are supposed to help parents make an...

Wilkinson Prize for Numerical Software 2015

June 18, 2015 Comments (0)

by Mike Dewar, Chief Technical Officer, Numerical Algorithms Group (NAG)  James Hardy Wilkinson NAG, along with Argonne National Laboratory and the National Physical Laboratory (NPL), awards the Wilkinson Prize every four years to the authors of an outstanding piece of numerical software. The prize honours the pioneering work of Dr James Hardy Wilkinson in the field of numerical algorithms, work which had a fundamental impact on NAG in our early years and which still resonates...

Introducing the team: Gail Austin, Customer Support Coordinator, Team Leader

May 21, 2015 Comments (0)

Gail, describe your role at NAG? I manage the Technical Support Service, the Sales Operations Team, NAG Oxford Reception and I am website editor for the marketing area of the website. Can you give examples of the customer problems you help solve via NAG Technical Support? Rather than solve users technical issues my role is connected to the direction of incoming support queries and the issuing and renewal of software licences. Over time I have come to understand the installation of...

Professor Mike Powell F.R.S

April 29, 2015 Comments (0)

We are pained to pass on the sad news of the death on 19th April of Prof Mike Powell F.R.S, a brilliant numerical analyst specialising in numerical optimisation and approximation theory.   Mike touched many lives with his work. NAG and NAG's community benefitted greatly because he gave freely his code to NAG from the beginning of the NAG. The more mature may remember the routine E04DCF, an implementation of his hybrid method for unconstrained optimisation. More recently his...

Introducing the team: Craig Lucas, Senior Technical Consultant

April 15, 2015 Comments (0)

Craig, describe your role at NAG? I am a Senior Technical Consultant based in NAG’s Manchester Office. Here I manage part of NAG’s High Performance Computing group. I come from a numerical linear algebra background. For my MSc dissertation I looked at nearest correlation matrix problems, something I still work on today, and this year I have an MSc student looking at more new algorithms.  Another big interest of mine is shared memory parallelism with OpenMP, and in particular helping users...

Introducing the team: Mick Pont, NAG Principal Technical Consultant

April 9, 2015 Comments (0)

Over the next few months, scattered in between our technical blog posts, we are going to publish interviews with NAG colleagues. Our first interview is with Mick Pont. Mick, what is your role at NAG?  I'm a Principal Technical Consultant, and Deputy Manager of the Development Division. I'm involved in the development and peer review of new NAG Library software and documentation, and in the scheduling of software production in line with company targets. In "project management"...

Optimization, NAG and Me - 5 Years and Counting

April 9, 2015 Comments (0)

Authored by Jan Fiala, NAG Numerical Software Developer It feels almost like yesterday since I joined NAG so it is hard to believe that it has been 5 years already. Looking back, I see a long path I would like to tell you a bit about, just in case you were curious about one of the people answering your support queries. I was always a blend of a computer scientist and a mathematician. Computers and programming were my hobby but it did not feel quite right to choose either as the main subject...

Advanced Analytics on Apache Spark

April 9, 2015 Comments (0)

Developed in AMPLab at UC Berkeley, Apache Spark has become an increasingly popular platform to perform large scale analysis on Big Data. With run-times up to 100x faster than MapReduce, Spark is well suited for machine learning applications. Spark is written in Scala but has APIs for Java and Python. As the NAG Library is accessible from both Java and Python, this allows Spark users access to over 1600 high quality mathematical routines. The NAG Library covers areas such...

Adding a Slider Widget to Implied Volatility

April 9, 2015 Comments (0)

In the last post on Implied Volatility, we downloaded real options data from the CBOE and calculated the volatility curves/surface. We saw the calculations of 30,000 implied volatilities in roughly 10 seconds.  In this post we concentrate on the speed of calculating implied volatility via a variety of different methods. We look at the volatility curve/surface using Python's Scipy, the NAG Library for Python, and the NAG C Library. In addition, we've added a slider widget to...

Problem needed for research on Bermudan Option Pricing Algorithms

October 2, 2014 Comments (0)

Introduction NAG together with Prof. Oosterlee and an MSc student from TU Delft are investigating the recent Stochastic Grid Bundling Method (SGBM) [1,2]. The objective is to compare the performance of SGBM to the well-known Longstaff-Schwartz (least squares method or LSM) in a non-academic setting, i.e. on the pricing of a Bermudan option, with underlying asset(s) driven by a realistic process such as Heston or LMM. We are looking for an interesting case to test these two methods. This...