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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.

Learn more about the summit
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.

Learn more about the workshop