TopQuants – Newsletter – Volume 1 – Issue 1

Dear Reader,

The TopQuants team is pleased to present the first issue of our newsletter. We intend to publish the newsletter semi-annually from now onwards. As with all our efforts, it is
intended to serve the quant community in the Netherlands. We would like to stay in touch with you, keep you posted between our two events, namely the spring keynote and the autumn/ winter workshops.

In the newsletter, you can expect to find news relevant to the quant community, technical articles, and additional information on recent events as well as announcements of future events. We hope that this matches with your interests. But the newsletter is also what you make of it! We are open to your suggestions, and are looking forward to receiving your comments and contributions. If there is a topic you would like to bring to the
attention of your fellow quants in this country, why not write an article about it for this newsletter? Please contact us to discuss how it may be done.

This issue of the newsletter starts with an interview we have recently conducted with SNS, the main sponsor of our upcoming keynote event in May 2013. A “save-the-date” email for this event will follow soon. The newsletter also includes summaries of all
the parallel sessions held at the 2012 TopQuants autumn workshop – handy if you want to refresh your memory of the session you have attended or find out about all those interesting sessions you could not attend personally. Note that in some summaries
we have also included updates, i.e. recent research developments from the speaker after the event.

This issue also features two technical articles. In the first article, Cyril Schmidt from the Quantitative Trading Risk Analytics Group in ABN AMRO discusses the personal experiences of his team with GPU programming, its benefits and the issues they
encountered. In another joint article, Eric Beutner, Antoon Pelsser and Janina Schweizer from the Department of Quantitative Economics, Maastricht University, present a novel analytical framework for statically replicating contingent claims through
orthonormal basis functions, in the context of insurance liabilities. Antoon is of course well-known to regular attendees of TopQuants events as the key note speaker of 2012.

We hope you will enjoy reading this newsletter and we look forward to seeing you at the upcoming TopQuants event(s).

Aneesh Venkatraman
(on behalf of TopQuants)