Autumn Event 2019

Current topics in modelling



Time table

  • 15:00 Registration
  • 15:30 Plenary welcome
  • 15:45 First round of parallel sessions
  • 16:30 Second round of parallel sessions
  • 17:15 Third round of parallel sessions
  • 18:00 Closing
  • 18:20 Drinks and dinner
  • 20:00 End of event

TopQuants – the networking organisation by quants for quants based in the Netherlands – is proud to present its Autumn Event 2019 on

Current topics in modelling

The workshops will take place on 28 November at the Science Park Conference Centre in Amsterdam and will be sponsored by ING.

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, artificial intelligence, longevity risk, prepayment modelling, calibration of neural networks and innovative pay-off scripting for a large spectrum of path dependent FX options and realised volatility options, and relative value trading in the bond market.

This year the following speakers will present:

  • Stefano Silvano (Volmaster) – An innovative payoff-scripting framework for pricing a large spectrum of path-dependent FX options and realised volatility
  • Joost van der Burgt (DNB) – General principles for the use of AI in the financial sector
  • Sumit Sourabh (ING) – MVA optimisation
  • Stephane Collot (ING) – Enhancing relative value trading in the bond market
  • David Schrager (Longitude Solutions & VB Advisory) – Longevity hedging
  • Kees Oosterlee (TU Delft) – Option pricing PDE solution and calibration with neural networks
  • Bram Jochems (Risk At Work Consulting) – Managing prepayment with replicating portfolios
  • Sebastian Schneider (Robeco) – Fast MVA calculations with algorithmic differentiation (Best Quant Thesis Award 2019 winner)

In three different rounds you will be able to attend a presentation of your choice.

The event will be concluded with an interactive session on benchmark reform, and 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 is not possible to attend 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.