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

Current topics in modelling

The workshop took place on 28 November at the Science Park Conference Centre in Amsterdam and was sponsored by ING.

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.

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.