Quantum technology

Workshop ‘Current topics in modelling’

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

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

Next to these exciting speakers, the winner of the Best Quant Thesis Award 2019 is invited to present her or his thesis.

Registration for the event is required.

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