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Wednesday, June 21 • 10:40am - 11:16am
Miletus: A Financial Modelling Suite in Julia

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Miletus is a financial software suite in Julia, with a financial contract specification language and extensive modelling features. In this talk, we’ll discuss the design principles involved in how to model a contract from primitive components, and how Julia’s language features lend themselves intuitively to this task. We’ll then talk about the various features of the software suite such as closed form models, binomial trees and computation of price sensitivities (aka “the Greeks”), providing several examples and code snippets, along with comparisons with other popular frameworks in this space.


Speakers
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Ranjan Anantharaman

Julia Computing, Inc.
Ranjan Anantharaman is a data scientist at Julia Computing. His interests span applied mathematics and numerical computing, and he enjoys working with computation across a variety of fields and domains.
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Simon Byrne

Julia Computing, Inc.
Dr Simon Byrne is a quantitative software developer at Julia Computing, where he implements cutting edge numerical routines for statistical and financial models. Simon has a Ph.D. in statistics from the University of Cambridge, and has extensive experience in computational statis... Read More →


Wednesday June 21, 2017 10:40am - 11:16am
West Pauley Pauley Ballroom, Berkeley, CA

Attendees (35)