Issues in Quantitative Finance

Issues in Quantitative Finance

This seminar is the result of the collaboration between Double Effect and the Duisenberg school of finance. Participants will learn more about multiple relevant topics in the field of quantitative finance, both from industry practitioners as well as from academics. The seminar covers a broad set of themes, including risk management, (interest rate) derivatives and pricing principles. The topics are approached from two perspectives; practice vs. theory. This should provide an interesting mix of viewpoints, as one of the speakers states it: "The gap between theory and practice usually turns out to be larger in practice than in theory."
 
Key benefits
By attending this seminar, you will:

• Learn about recent developments in the field of quantitative finance.
• Get an insight how quantitative finance is applied in practice.
• Get the opportunity -and be encouraged- to ask all your questions regarding theory or practice.
• Deepen your understanding about the link between academics and the financial industry.
• Have the opportunity to meet industry practitioners in an informal setting to discuss career opportunities.

Who should attend?
All students with a quantitative background and an interest in finance. Particularly interesting for students currently finalising their master, with a background in studies like economics (quantitative finance), econometrics, mathematics or physics. The seminar will be entirely in English and is therefore suitable for non-Dutch students as well.
 
Faculty & programme
Prof. dr. ir. Michel Vellekoop is a Professor of Actuarial Sciences & Mathematical Finance at the UvA. Dr. Drona Kandhai is Head of Interest Rates, Credit and Inflation Model Validations at ING Bank and Assistant Professor of Computational Science at the UvA. Dr. Berend Roorda is an Associate Professor of Financial Engineering at the UT. Dr. Jaroslav Krystul is employed as Consultant at Double Effect.
 
13.00 - 13.15 Welcome by Double Effect
13.15 - 14.00 Pricing principles in incomplete markets (Prof. dr. ir. Michel Vellekoop)
14.00 - 14.45 Consistent risk aversion and its implications for backward recursive pricing
                     (Dr. Berend Roorda)
14.45 - 15.00 Coffee Break
15.00 - 15.45 How did CVA turn plain vanilla swaps into one of the most exotic derivatives?
                     (Dr. Drona Kandhai)
15.45 - 16.30 Multi-index curve group construction for pricing interest rate derivatives
                     (Dr. Jaroslav Krystul)
16.30 - 17.00 Discussion and Closure.
17.00 - 18.00 Drinks with speakers and Industry professionals
 
Date & subscription
Friday, February 15th, 2013, 13.00 to 18.00.
Duisenberg school of finance, Gustav Mahlerplein 117, Amsterdam.
 
Subscription is required but is free for all students. Limited seats available, so it is recommended to apply soon. The subscription deadline is January 24th. All subscribers will be notified before February 1st.
 
For further information or questions, please contact info@doubleeffect.nl