Autumn Event 2018

Current topics in modelling

Time table

  • 15:00Registration
  • 15:35Welcome
  • 16:15First round of parallel sessions
  • 17:15Second round of parallel sessions
  • 18:00Closing
  • 18:20Drinks & dinner
  • 20:00End of event

TopQuants – the networking organisation by quants for quants based in the Netherlands – is proud to present its Autumn Event on

Current topics in modelling

hosted by Van Lanschot Kempen at their Amsterdam offices (directions here).

At the event, we will host inspiring parallel sessions with lively debates on a wide range of topics. Talks this year cover, amongst others, topics such as margin valuation adjustment, modeling recovery risk, deep and reinforcement learning for stock market trading, PDE models for pricing financial instruments, but also data analysis applied to asset management, filtering of option market data, as well as a talk dealing with the cross-currency basis.

The first parallel session this year consists of the following talks:

  • Svetlana Borovkova (Probability & Partners) – Deep and reinforcement learning with sentiment for stock market trading
  • Martin Engblom (TriOptima) – Accelerated MVA in the probability matrix method
  • Charlotte Faber-Werger (Van Lanschot Kempen) – Augmenting discretionary asset management with machine learning
  • Riccardo Lena and Enrico Melchioni (LIST S.p.A.) – The Gn++ model and its implementation
  • Karim Moussa (ABN AMRO) – Arbitrage-free filtering of option data,

whereas the second parallel session will give a platform to the following speakers:

  • Pasquale Cirillo (TU Delft) – A brand new way of looking at recovery risk
  • Daniel J. Duffy (Datasim) – Efficient and accurate PDE models for one and two factor pricing problems
  • Daniel Linder (Adyen) – Building a smart, scalable platform that simplifies big data, improves analysis and enhances machine learning
  • Marcin Rybacki (Cardano) – The cross-currency basis
  • Joris Tolenaar (Transtrend) – Systematic trading and changed market dynamics.

Abstracts of the talks can be found here. Of course, the event will be concluded with the usual complimentary drinks and walking dinner, during which all participants can enjoy plenty of networking opportunities.

Registration for the event is required. Please let us know which of the parallel sessions you would like to attend. Preferences will be accommodated on a “first come first served” basis. Experience shows that popular sessions are booked out fast, so make sure to register now in order to get into the session you are most interested in!

Please note that without a confirmed registration it will not be possible to enter the event. Also be aware that after 15:30 you will not be able to enter the event until the start of the networking part at 18:20.