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Lennart Augustsson, Credit Suisse

 Lennart  Augustsson

Lennart Augustsson has a PhD from Computer Sciences, Chalmers University, Sweden.
The thesis topic was efficient implementation of lazy functional languages. Lennart is now a Director in the Global Analytics and Modelling Group at Credit Suisse in London.

After teaching and doing programming language research at Chalmers, Lennart left for the private sector where he has worked on the design and implementation of a number of domain specific languages.

Some examples of languages he has been involved in developing: Haskell, a pure lazy functional language; R@VE, a language used by Carmen System for aircraft crew planning; Delf, a language for descibing Swedish regulations used by Norstedt; Bluespec, a hardware description language used by Bluespec Inc.

As a hobby Lennart has also written most of the USB software available in the BSD family of operating system. Apart from having written a couple of C compilers, Lennart is also a three time winner in the International Obfuscated C Code Contest.

Presentation: "Haskell and DSLs for derivatives pricing"

Time: Wednesday 11:00 - 12:00

Location: Abbey Room

Abstract:

Creating a new pricing model for a financial derivative model consists of plumbing together generic low level analytics and creating a user friendly interface for the model.

The low level analytics is typically written in C++ and the user interface is often Excel.

We have developed a domain specific embedded language in Haskell for creating procing models.

The programmer of the pricing model make a high level description of how the put the analytics together and what the user interface should look like, and from this the pricing model is generated.

The features of Haskell we have used will be explained during the talk, so little or no knowledge of Haskell is needed.

Presentation: "DSLs"

Track:   Interviews

Time: Wednesday 17:00 - 18:00

Location: Wordsworth Room

Presentation: "Haskell and DSLs for derivatives pricing - Interview"

Track:   Interviews

Time: Friday 14:30 - 15:30

Location: Wordsworth Room