ABC-EU-XVA on-line workshop, plus Board meeting
- https://wsc.project.cwi.nl/abcxva/events/abc-eu-xva-on-line-workshop-plus-board-meeting
- ABC-EU-XVA on-line workshop, plus Board meeting
- 2021-01-21T11:00:00+01:00
- 2021-01-21T15:10:00+01:00
- When Jan 21, 2021 from 11:00 AM to 03:10 PM (Europe/Amsterdam / UTC100)
- Where on-line
-
Add event to calendar
iCal
Program
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 zoom.us, with log-in details:
https://cwi-nl.zoom.us/j/82613033209?pwd=V2dIanhrbUVuUFRPeXpDL0lkNHpvdz09
[Meeting ID: 826 1303 3209, Passcode: 034785]
We will have the ABC-EU-XVA Board Meeting directly after the last presentation.