TopQuants – the networking organisation by quants for quants based in the Netherlands – celebrates its 12-year anniversary. We are therefore proud to invite you to a special Autumn 2023 lustrum event on
Current topics in quantitative finance
Such an anniversary calls for an inspiring keynote speaker, a special place, and a slightly longer programme than you are accustomed to. We are happy to announce that Peter Jäckel, the well-known market practitioner and derivatives expert, will give a keynote address titled Gaussian Kissing, dealing with the curse of dimensionality.
Additionally we will combine inspiring parallel sessions with lively debates on a wide range of topics, including capital markets, climate risk, ALM, and regulatory perspectives, with another new element – poster presentations. The lustrum event will be concluded with tasty food and drinks during the informal networking dinner.
The first round of parallel sessions this year consists of the following talks:
- Kees Oosterlee (Utrecht University) – Machine Learning for Deep Portfolio Optimisation in Finance
- Ruben Bosch (ING) – Self-exciting Point Process in Expected Shortfall Backtesting
- Thomas van der Zwaard (Rabobank and Utrecht University) – Valuation Adjustments with an Affine-Diffusion-based Interest Rate Smile
- Fang Fang (FF Quant and Delft University of Technology) – A New and Efficient Fourier Method for Risk Quantification and Allocation of Credit Portfolio
- Artur Usov (ING) – End-2-End Application of Machine Learning Models for Credit Acceptance Models
The second round of parallel sessions will be:
- Antoon Pelsser (Risk at Work and Maastricht University) – The model of the Commissie Parameters 2022 for Dutch Pension funds
- Marco Folpmers (Deloitte) – Better understanding of ML models with the help of visualization tools: the visible and the invisible
- Evgenii Vladimirov (Erasmus University Rotterdam) – iCOS: Option-Implied COS Method
- Jori Hoencamp (ING and University of Amsterdam) – The Impact of stochastic volatility on Initial Margin and MVA for Interest Rate Derivatives
- Bert-Jan Nauta and Dafni Mitkidou (Rabobank) – Replicating portfolio construction for interest rate risk measurement in the banking book
The poster presentations will be by:
- Ekaterina Ugulava (University of Amsterdam) – Direct versus Iterated Cumulative Variance Forecasting: Hausman-type specification testing
- Terri van der Zwan (Erasmus University Rotterdam) – Predicting the Equity Risk Premium using Machine Learning Techniques
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 during registration 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 do not hesitate to reach out to us in case of any questions.