ABC-EU-XVA on-line workshop, plus Board meeting

  • When Jan 21, 2021 from 11:00 AM to 03:10 PM (Europe/Amsterdam / UTC100)
  • Where on-line
  • Add event to calendar iCal


11:00 AM Luis Souto Arias  (CWI): Estimation for univariate and bivariate reinforced urn processes under left-truncation and right-censoring Slides Video
11:35 AM Kristoffer Andersson (CWI): Deep learning for McKean-Vlasov FBSDEs applied to algorithmic trading Slides Video
12:10 AM Graziana Colonna (UDC): The Multi-Level Monte Carlo finite element method for XVA in European options: a hybrid approach Slides Video

13:30PM Roberta Simonella (UDC): An Asset and Liability Management model for a life insurance company's portfolio Slides Video
14:35PM Felix Wolf (ULB): Collateral valuation with a common factor Slides Video
15:10PM Kevin Kamm (UNIBO): An introduction to rating models Slides/Video

This workshop will take place, on-line, via, with log-in details:
[Meeting ID: 826 1303 3209, Passcode: 034785]

We will have the ABC-EU-XVA Board Meeting directly after the last presentation.