ESRs presentations

  • When Oct 22, 2021 from 02:00 PM to 04:00 PM (Europe/Amsterdam / UTC200)
  • Where online
  • Add event to calendar iCal


14:00-14:25 Felix Wolf, Stochastic modelling of the collateral choice option and its practical implications, slides
14:30-14:55 Kevin Kamm, An introduction to rating triggers for collateral-inclusive XVA in an ICTMC framework, slides
15:00-15:25 Kristoffer Andersson, Robust machine learning algorithms for strongly coupled FBSDEs, slides
15:30-15:45 tea break

15:45-16:10 Robert Simonella, A Stochastic Asset-Liability Management Model for Life Insurance Companies, slides
16:15-16:40 Luis Souto Arias, Modelling jump clusters from Polya urns with limited memory, slides