Workshop on Functional Programming in Quantitative Finance | April 20 -22, 2012

The Stevanovich Center for Financial Mathematics at the University of Chicago as part of its ongoing series of workshops and conferences on mathematical methods in finance, announces a three day workshop on Functional Programming in Quantitative Finance. The workshop is in collaboration with HIPERFIT at the University of Copenhagen
. The workshop is being held at the Stevanovich Center for Financial Mathematics at 5727 University S. Ave. Chicago IL 60637.

Functional programming languages such as Haskell, O’Caml, and most recently, F# are becoming increasingly important in Quantitative Finance. The expressiveness of these languages make them ideal choices for programming mathematical models and researchers in many quantitative fields are turning to functional programming as a way to simplify coding of complex algorithms. Financial research depends  heavily on analyzing data from many different sources and the data centric nature of Functional Programming makes this programming paradigm a natural choice for Quantitative Finance. Maybe the most important benefit of Functional Programming is how much it simplifies writing parallel and asynchronous code; with today’s emphasis on multi-core/multi-processor hardware and distributed computing this is essential in modern software development.

The workshop will deal with both theoretical aspects of Functional Programming and practical applications in Finance. Participants will have the opportunity to get hands-on experience coding.

Participation is free but the number of participants is limited and we request persons interested in attending to register by sending e-mail to Ashley Doss at adoss@uchicago.edu

 

PROGRAM COMMITTEE

 

KEYNOTE SPEAKERS

 

Don Syme, Principal Researcher, Microsoft Research
Dr. Don Syme is a Principal Researcher at Microsoft Research, Cambridge. He is best known as the co-designer of .NET generics and the F# programming language. His current interests include aspects of combining typed functional programming with rich information spaces including financial data sources, databases and the semantic web

Luca Bolognese, Director, Credit Suisse
Luca Bolognese was Group Program Manager for the Visual C# team, Visual Basic .NET and F# compilers and IDEs in Microsoft. Luca was also responsible for the overall LINQ project, with a particular emphasis on LINQ to SQL and in memory queries.Before joining the Languages team, Luca worked on the ObjectSpace project in the SQL Server group. Now Luca is working for Credit Suisse, a world-leading financial services company and enjoys using F# in his day to day coding

 

SPECIAL GUEST SPEAKERS

 

Tomas Petricek, Cambridge University
Tomas is a PhD student at the University of Cambridge with interest in functional programming languages. He is an F# expert, using F# since the early Microsoft Research versions. Together with Jon Skeet, he wrote a book Real-World Functional Programming which explains basic functional concepts using C# (teaching F# alongside) and which shows several appealing real-world uses of F#. Finally, Tomas also contributed to the development of F# itself as an intern and contractor at Microsoft Research.

Aaron Erickson, ThoughtWorks
Aaron is a veteran technology consultant, writer, and developer at ThoughtWorks. He is the author of "The Nomadic Developer" and most recently a co-author of "Professional F# 2.0". His life's work is helping organizations better leverage technology by contributing to solutions that have substantial positive economic impact for his clients. He is an enthusiast of agile software development, continuous delivery, and leveraging functional programming techniques to solve interesting business problems

 

The Stevanovich Center is supported by the generous philanthropy of University of Chicago Trustee Steve G. Stevanovich, AB '85, MBA '90.