TopQuants – the networking organisation by quants for quants based in the Netherlands – cordially invites you to its
TopQuants Autumn (in Winter) 2024/2025 event
on
Current topics in quantitative finance
hosted by Mercer and Cardano on the floor above Cardano’s headquarters in Rotterdam (directions here).
In meeting rooms overlooking the Rotterdam skyline we will host our usual type of Autumn Event, where we combine inspiring parallel sessions with lively debates on a wide range of topics, including AI, machine learning and their applicability to both market data and Solvency II capital optimisation, pricing, contagion risk, portfolio construction, and sustainable investing. The 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:
- Jörg Kienitz (mrig and University of Cape Town) – GenAI – A Gaussian Perspective
- Maxim Faber and Simon Jung (Rabobank) – Modelling the composition of deposit volume
- Rogier Swierstra (PGGM) – Post-modern portfolio theory for 3D Investing
- Bud Schiphorst (Rabobank and University of Amsterdam) – Connected Clients: Modelling Default Contagion Risk in Credit Portfolios
- Simon Trimborn (University of Amsterdam) – Influential Assets in Large Scale Vector Autoregressive Models
- Yonas Khanna (ING and VU Amsterdam) – Dynamic Nonlinear Matrix-Variate Models for Seasonal Implied Volatility Surfaces
The second round of parallel sessions will be:
- Jeffrey Hennen and Stan Bergkamp (Oliver Wyman) – Neural Networks in Solvency capital optimisation
- Leonardo Perotti (Rabobank and Utrecht University) – Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty
- Michael van Enkhuizen and Luuk Hendrikx (Transtrend) – The risks of Value at Risk in a dynamic portfolio
- Luke Servat (Maastricht University) – Optimal Investing with Intergenerational Solidarity
- Christian Kappen (d-fine) – Pricing and hedging of power purchase agreements (PPAs)
- Felix Wolf (Université Libre de Bruxelles) – Efficient Embedding of Random Features into a Risk Factor Model
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!
As the event is just across Rotterdam’s beautiful central train station, we advise you to come by public transport if you are travelling. Parking is possible, but availability may be scarce and is at your own expense.
We hope to see you at the event and please do not hesitate to reach out to us in case you have questions via mail!
