pricing derivatives

Elaine Kant


SciComp Inc.
5806 Mesa Drive, Suite 250
Austin, TX 78731

voice: 512-451-1050 x201
fax: 512-451-1622
Email: kant@scicomp.com

SciComp Inc. Home Page

OBJECTIVE

    My current career goal is to automate large portions of the scientific computing process by applying and extending program synthesis and other artificial intelligence techniques.

EXPERIENCE

    SciComp Inc.
      President and Principal Computer Scientist, 1994-present
    Schlumberger Laboratory for Computer Science
      Senior Research Scientist, Modeling and Simulation Program, 1991-1994
      Program Leader and Research Scientist, Design Environments Program, 1989-1991
    Schlumberger-Doll Research
      Program Leader and Research Scientist, Problem Solving Systems Program, 1987-1989
      Research Scientist, Software Research Program, 1985-1987
    Carnegie-Mellon University
      Assistant Professor of Computer Science, 1980-1985

EDUCATION

    Ph.D., Computer Science, 1979, Stanford University
    M.S., Computer Science, 1975, Stanford University
    B.S., Mathematics, 1973, Massachusetts Institute of Technology

AWARDS AND PATENTS

    Fellow of the American Association for Artificial Intelligence, elected 1991
    Fellow of the American Association for the Advancement of Science, elected 1997
    Outstanding Achievement Award in Science/Technology, from University YWCA, 1992

    U.S. Patent No. 6,173,276, System and Method for Financial Instrument Modeling and Valuation, with C. Randall.

    U.S. Patent No. 6,772,137, System and Method for Financial Instrument Modeling Using Monte Carlo Simulation, with C. Randall.

RESEARCH INTERESTS

    Automation of mathematical modeling, aids to scientific problem solving, program synthesis, automated algorithm design, object-oriented/rule-based programming, knowledge representation.

SELECTED PUBLICATIONS

    R. Akers, I. Bica, E. Kant, C. Randall, and R. Young, "SciFinance: A Program Synthesis Tool for Financial Modeling." Proceedings of the Twelfth Innovative Applications of Artificial Intelligence Conference (IAAI-2000), Austin, Texas, July 30-August 3, 2000. American Association for Artificial Intelligence. (Updated version appears in AI Magazine, Vol. 22, No. 2, Summer 2001.)

    J. Gatheral, Y. Epelbaum, J. Han, K. Laud, O. Lubovitsky, E. Kant, and C. Randall, "Implementing Option-Pricing Models Using Software Synthesis." Computing in Science & Engineering. November/December 1999, pp. 54-64.

    R. Akers, P. Baffes, E. Kant, C. Randall, S. Steinberg, and R. Young, "Automatic Synthesis of Numerical Codes for Solving Partial Differential Equations." Mathematics & Computers in Simulation, Vol. 45, pp 3-22.

    C. Randall and E. Kant, and A. Chhabra, "Using Program Synthesis to Price Derivatives." Journal of Computational Finance, Vol. 1, No. 2, 1998, pp 97-128.

    R. Akers, E. Kant, C. Randall, S. Steinberg, and R. Young, "SciNapse: A Problem-Solving Environment for Partial Differential Equations." IEEE Computational Science and Engineering, Vol. 4, No. 3, July-Sept. 1997, pp. 32-42.

    Elaine Kant, "Synthesis of Mathematical Modeling Software." IEEE Software, May 1993.

    Elaine Kant, Francois Daube, William MacGregor, Joe Wald, "Scientific Programming by Automated Synthesis." Chapter 8 in Automating Software Design, M. Lowry and R. McCartney, (editors), AAAI Press/MIT Press, Menlo Park, CA, 1991, pp. 169-205.

    Elaine Kant, "Interactive Problem Solving using Task Configuration and Control." IEEE Expert, 3(4), pages 36-49, November 1988.

    Elaine Kant, "Understanding and Automating Algorithm Design." IEEE Transactions on Software Engineering, SE-11(11), pages 1361-1374, November 1985.
      Reprinted as Chapter 4 in Artificial Intelligence and Software Engineering, D. Partridge, ed. Ablex Publishing, Norwood, NJ 1991.

    Elaine Kant, "On the Efficient Synthesis of Efficient Programs." Artificial Intelligence Journal, Volume 20, Number 3, May 1983.
      Reprinted in Readings in Artificial Intelligence and Software Engineering, C. Rich and R. C. Waters (editors), Morgan Kaufmann Publishers, Inc., 1986.

SELECTED KEYNOTE TALKS

    "Program Synthesis for Mathematical Modeling Applications", Seventh International Conference on Industrial and Engineering Applications of Artificial Intelligence and Expert Systems, Austin, Texas, 1994

    "Synthesis of Simulation Codes for a Scientific Computing Environment," Artificial Intelligence in Petroleum Exploration and Production, Plano, Texas, 1993

    "Knowledge-Based Support for Scientific Programming," The Seventh Knowledge-Based Software Engineering Conference, McLean, VA, 1992

    "A PIPE-DREAM about SEKE," The Third International Conference on Software Engineering and Knowledge Engineering, Skokie, IL, 1991

    "Understanding and Automating Algorithm Design," IJCAI-85, Los Angeles, CA, 1985

SELECTED SERVICE POSITIONS

    Associate Editor, IEEE Expert, 1989-1993

    Editorial Board Member, Automated Software Engineering: The International Journal of Automated Reasoning and Artificial Intelligence in Software Engineering, 1992-1999

    Councilor, American Association for Artificial Intelligence, 1991-1994

    Organizer, AAAI Symposium on Intelligent Scientific Computation, Boston, MA, October 1993

    IEEE Conference on Artificial Intelligence Applications
      General Chair, 1989
      Program Committee Co-Chair, 1988
      Steering Committee, 1987-1990


    Council Delegate, Information, Computing, and Communication, American Association for the Advancement of Science, 1987-1990

    National Science Foundation
      Advisory Committee, Information, Robotics and Intelligent Systems, 1990-1992
      Final Evaluation Panel for Small Scale Institutional Infrastructure Grants to Computer Science Departments, 1988


    General Chair, EYH--- Expanding Your Horizons in Mathematics and Science Careers Conference, Austin, TX, 1991, 1992, 1993, 1994

    President, TWIST ---Tomorrow's Women in Science, Engineering, and Technology, 1995-1999

ADDITIONAL PUBLICATIONS

    Curt Randall and Elaine Kant, "Numerical Options Models Without Programming." Proceedings of the IEE/IAFE Conference on Computational Intelligence for Financial Engineering. March, 1997.

    C. Randall, E. Kant, and S. Kostek, "Automatic Synthesis of Financial Modeling Codes." Proceedings of the International Association of Financial Engineers First Annual Computational Finance Conference. August, 1996.

    Elaine Kant, Ada Shuk-Han yau, Richard Liska, and Stanly Steinberg, "A Problem-Solving Environment for Generating Certifiably Correct Programs to Solve Evolution Equations." 1995.

    Elaine Kant, Francois Daube, William MacGregor, Joe Wald, "Knowledge-Based Program Generation for Mathematical Modeling." Expert Systems for Scientific Computing: Proceedings of the Second IMACS International Conference on Expert Systems for Numerical Computing, Purdue University, March 1990, edited by E.N. Houstis, J.R. Rice, and R. Vichnevetsky, North-Holland, 1992, pp 371-392.

    Elaine Kant, "Data Relationships and Software Design." Chapter 7 in Automating Software Design, M. Lowry and R. McCartney, (editors), AAAI Press/MIT Press, Menlo Park, CA, 1991, pp. 141-168.

    Elaine Kant, Francois Daube, William MacGregor, Joe Wald, "Automated Synthesis of Finite Difference Programs." In A. K. Noor, I. Elishakoff, and G. Hulbert, editors, Symbolic Computations and their Impact on Mechanics, volume PVP-Vol. 205, pages 45-61. American Society of Mechanical Engineers, November 1990.

    Elaine Kant, Automated Program Sythesis (Videotape), by University Video Communications, Stanford, CA; Industry Leaders in Computer Science and Electrical Engineering, Distinguished Lecture Series Volume III, (52 minutes), 1990.

    Elaine Kant, "Communication About Domain Knowledge in Program Synthesis." AAAI Spring Symposium on Knowledge-Based Human-Computer Communication. Stanford, CA, March 1990, pp. 65-67.

    Elaine Kant, "Approximation and Learning in Mathematical Modeling." Explanation-Based Learning AAAI Symposium, March 1988.
    David M. Steier and Elaine Kant, "The Roles of Execution and Analysis in Algorithm Design." IEEE Transactions on Software Engineering, November 1985.

    Lee Brownston, Robert Farrell, Elaine Kant, and Nancy Martin, Programming Expert Systems in OPS5. Addison-Wesley, June 1985.

    Gail E. Kaiser and Elaine Kant, "Incremental Parsing without a Parser." Journal of Systems and Software, Volume 5, Number 1, April 1985.

    Elaine Kant and Allen Newell, "Problem Solving Techniques for the Design of Algorithms." Information Processing and Management, Pergamon Press, Volume 20, No. 1-2, 1984.

    Elaine Kant and Allen Newell, "An Automatic Algorithm Designer: An initial implementation." Proceedings of AAAI-83, August 1983.

    Elaine Kant and Allen Newell, "Naive Algorithm Design Techniques: A Case Study." Proceedings of the European Conference on Artificial Intelligence, Orsay, France, July 1982.
      Reprinted in Progress in Artificial Intelligence, L. Steels and J.A. Campbell (editors), Ellis Horwood Limited, 1985.

    Elaine Kant and David R. Barstow, "The Refinement Paradigm: The Interaction of Coding and Efficiency Knowledge in Program Synthesis." IEEE Transactions on Software Engineering, SE-7, 5 (September 1981).
      Reprinted in Interactive Programming Environments, D.R. Barstow, H. Shrobe, and E. Sandewall (editors), McGraw-Hill, 1984.

      Also reprinted in New Paradigms for Software Development, W.W. Agresti (editor), IEEE Computer Society Press, 1986.

    Elaine Kant, "A Semester Course in Software Engineering." Software Engineering Notes, August 1981.
      Also appears in the Instructor's Guide to Software Engineering: A Practitioner's Approach, by R. Pressman, McGraw-Hill, 1982.

    Elaine Kant, Efficiency in Program Synthesis, UMI Research Press, Ann Arbor, Michigan, 1981.

    Elaine Kant, "A Knowledge-based Approach to using Efficiency Estimation in Program Synthesis." Proceedings of the Sixth International Joint Conference on Artificial Intelligence, Tokyo, Japan, August 1979.

    Elaine Kant, "The Selection of Efficient Implementations for a High Level Language," Proceedings of Symposium on Artificial Intelligence and Programming Languages, SIGPLAN Notices, Volume 12, Number 8, SIGART Newsletter, Number 64, August 1977, pages 140-146.

    David R. Barstow and Elaine Kant, "Observations on the Interaction between Coding and Efficiency Knowledge in the PSI Program Synthesis System," Proceedings of the Second International Conference on Software Engineering , 13-15 October 1976, San Francisco, CA, pages 19-31.

    Elaine Kant, "A Multicommodity Flow Problem." NETWORKS, 4: 267-280, John Wiley & Sons, Inc., 1974.
      Also appears in Proceedings of 7th Annual Princeton Conference on Information Sciences and Systems, Princeton University, March 1973, pages 120-124.

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PRESS RELEASES

SciComp Speeds Derivatives Performance with New Parallel Code Styles and SciXpress Features

IN THE NEWS

NVIDIA and SciFinance

"...the only thing you need to add to get GPGPU acceleration is literally 'CUDA'; it's a single keyword, not a fundamentally different way to formulate the math equations. This allows SciComp's customers to save even more time while also improving accuracy."

Beyond 3D

Monte Carlo Greeks in Practice

"...The advantage of such estimation lies in its independence of the underlying model and payoff structure, enabling a generic implementation with little additional programming"

Wilmott Magazine

Software That Writes Itself

"...SciFinance takes complex mathematical models and translates them into something a computer can solve, allowing banks to flexibly change pricing models as they introduce new products."

Newsweek International