Joan Puig, Banc Sabadell
In this presentation, we show how Banc Sabadell uses MathWorks products in the day-to-day operations of the trading desk. We focus on Banc Sabadell's deployment environment and how MATLAB Compiler™enables us to reach, and cater to the specific needs of, more than a thousand users. In particular, we examine the notion of "parallel deployment" with MATLAB, and how we have sped up some of our performance-critical functions by running them in parallel. Finally, we discuss some of the ongoing projects that will allow users to define their own payoff structures "on the fly" and price them using Monte Carlo methods.
Grabados: 9 jun 2011