QuantLib User Meeting 2015

The QuantLib User Meeting 2015 was held in Düsseldorf on November 30th and December 1st, thanks to the sponsorship of IKB and CompatibL.

group photo

The slides for most of the the talks are available by clicking on their title.

Monday, November 30th

Jörg Kienitz, An Overview of Negative Rates, SABR PDE and Approximation
Alexander Sokol, Implementing AAD in QuantLib
Ferdinando M. Ametrano and Paolo Mazzocchi, The abcd of Forward Rate Bootstrapping / Excel Rate Curve Framework
Eric Ehlers, Cloud computing in QuantLib
Klaus Spanderen and Johannes Göttker-Schnetmann, Calibration of Heston Local Volatility Models (with a few animations not included in the slides)

Tuesday, December 1st

Peter Caspers, Negative rates in QuantLib / AD beyond typedef and operator overloading
Andreas Pfadler, Proof of concept for a modern, distributed pricing architecture based on open source components
Roland Lichters, CSA Pricing using QuantLib
Sebastian Schlenkrich, Multi-curve Pricing of Non-Standard Tenor Vanilla Options in QuantLib
Luigi Ballabio, Ship it! QuantLib, IPython Notebook, and Docker