Current topics in modelling
At the event, we hosted inspiring parallel sessions with lively debates on a wide range of topics. Talks this year covered, 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 presented over three different rounds. More details on the speakers and their presentations you can find in their bio.
- Stefano Silvano (Volmaster) – An innovative payoff-scripting framework for pricing a large spectrum of path-dependent FX options and realised volatility – presentation
- Joost van der Burgt (DNB) – General principles for the use of AI in the financial sector – presentation
- Sumit Sourabh (ING) – MVA optimisation
- Stephane Collot (ING) – Enhancing relative value trading in the bond market – presentation
- David Schrager (Longitude Solutions & VB Advisory) – Longevity hedging – presentation
- Kees Oosterlee (TU Delft) – Option pricing PDE solution and calibration with neural networks – presentation
- Bram Jochems (Risk At Work Consulting) – Managing prepayment with replicating portfolios – presentation
- Sebastian Schneider (Robeco) – Fast MVA calculations with algorithmic differentiation (Best Quant Thesis Award 2019 winner) – presentation
There was a plenary session after the parallel sessions in which Kees Oosterlee and Lech Grzelak presented their new book on Mathematical Modelling and Computation in Finance, and we had an interactive session on benchmark reform. The event was concluded with the usual complimentary drinks and walking dinner.
Hope to see you at our future events!
The TopQuants Team.