QuantLib User Meeting 2016, Düsseldorf
The second QuantLib User Meeting of 2016 was held in
Düsseldorf on December 7th and 8th, thanks to the
sponsorship of
IKB,
Quaternion and
d-fine.
When available, you can get the slides for the talks by clicking on their title.
Wednesday, December 7th
| Sebastian Schlenkrich, Quasi-Gaussian Model in QuantLib. |
| Georg Schöchtel, QuantLib(XL) for Model Validation. |
| Andreas Pfadler, Igniting QuantLib on a Zeppelin. |
| Nicholas Bertocchi, Advanced EONIA Curve Calibration. Paper available on SSRN. |
| Eric Ehlers, Reposit 1.10: Status Update. |
Thursday, December 8th
| Martin Dietrich and Pascal Heider, Market Models vs Replication Strategies in Incomplete Commodity Markets. |
| Klaus Spanderen, Collocating Local Volatility Model. |
| Peter Caspers, Open Source Risk Engine (ORE). |
| Roland Lichters, ORE Applied: Dynamic Initial Margin and MVA. |
| Oleksandr Khomenko, Solvency II Regulation: How QuantLib Can Help. |