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6 - 9 December 2021
Hotel ArtsBarcelona

XVA Techniques and Advancements agenda

We've got a whole stream of content focused on XVA techniques and advancements on Thursday 16 May. Key topics under discussion include:

  • Holistic view of XVAs: what are the combined effects of XVAs on pricing?
  • Reinforcement learning for marginal KVA pricing
  • Regression vs nested Monte Carlo AAD + GPU Grid for KVA – complexity / cost / accuracy tradeoff
  • A new approach to KVA
  • To what extent can MVA be passed on to clients and in what circumstances?
  • Efficient MVA by backward differentiation
  • Deep learning derivatives

Why Not Also Attend:

QuantTech Summit

Monday 13 May 2019

Position yourself to take the next disruptive financial steps by learning specific applications of the latest game-changing innovations that directly impact the quant function.

Key focuses of the summit will include practical applications of quantum computing, machine learning, blockchain and high performance computing.

Demystifying ADD: Adjoint Greeks Made Easy

Friday 17 May 2019

Workshop Leaders: 

  • Luca Capriotti, Managing Director - Head Quantitative Strategies Global Credit Products EMEA, CREDIT SUISSE
  • Uwe Naumann, Professor of Computer Science, RWTH AACHEN UNIVERSITY
  • Mike Giles, Professor of Mathematics and Department Head, OXFORD UNIVERSITY

Modules will include the particle method for smile calibration, stochastic control techniques & applications, machine learning techniques for option pricing and model-free bounds for option prices.