2nd DMFA "Dutch Math. Finance Afternoon

2nd DMFA "Dutch Math. Finance Afternoon", organised jointly by TU Delft, University of Amsterdam and Utrecht University,

which will take place in Utrecht University,  in Room 2.02 of the  Minnaert Building, Friday afternoon, November 24th, 2023.
for which you are cordially invited. See also https://sites.google.com/view/adu-dmfa/home?pli=1

We will have six presentations, starting at 2PM:

14:00 - 14:30 : Nestor Parolya (TUD): "Two is better than one: Regularized shrinkage of large minimum variance portfolios."
14:30 - 15:00 : Gergerly Bodo (UvA): "Stochastic integration with respect to cylindrical L´evy processes in Hilbert space."
15:00 - 15:30 : Felix Wolf (ULB, guest in UU): "Consistent asset modelling with parameter uncertainty across time regimes."

Coffee break: 15:30 - 16:00

16:00 - 16:30 : Gijs Mast (TUD): "Fast calculation of Potential Future Exposure and XVA sensitivities using Fourier series expansion."
16:30 - 17:00 : Sven Karbach (UvA): "Modelling Renewable Energy Markets using CARMA Processes."
17:00 - 17:30 : Thomas van der Zwaard (UU, and Rabobank): "Incorporating Smile in Valuation Adjustments Through the Randomization of Short-Rate Models."

See also https://sites.google.com/view/adu-dmfa/home?pli=1, for the corresponding Abstracts.

For those of you interested, afterwards there will be drinks (in the hall on the first floor of KBG (Koningsberger Building, GA 1.22).
Furthermore, it is possible to attend the dinner after that (where people pay their own dinner).
Participation is free, but please register on https://docs.google.com/forms/d/e/1FAIpQLSdzz9hsUvqgSTpOE6OClBoGGE_F815SbHHRsg0lTPQza5cTxQ/viewform?pli=1

You are very welcome to attend. We are looking forward to seeing you at this meeting!

Best wishes,
Kees Oosterlee