QuantLib User Meeting 2014

The QuantLib User Meeting 2014 was held in Düsseldorf on December 4th and 5th, thanks to the sponsorship of IKB.

group photo

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

Thursday, December 4th

Ferdinando Ametrano, Open Source Finance: QuantLib, OpenGamma, and Bitcoin (Keynote)
Roland Lichters, American Monte Carlo for Bermudan CVA
Michael von der Driesch and Matthias Groncki, ECB calls for lighter treatment of high-quality ABS. How QuantLib might help? (with the accompanying IPython notebook)
Dirk Eddelbuettel, QuantLib, R and Rcpp
Sebastian Schlenkrich, Choosing the Right Spread
Peter Caspers, QuantLib Erlkönige - A walk through some recent contributions

Friday, December 5th

Daniel Duffy, A PDE/FDM Software Framework in C++11 based on the Layers Software Pattern
Paolo Mazzocchi, Overnight Jumps and Proper Euribor Forwarding
Bernd Lewerenz, A new pricing engine for arithmetic average price options
Eric Ehlers, The Reposit Project: An Improved Solution For Autogenerating QuantLibXL Source Code
Klaus Spanderen and Johannes Göttker-Schnetmann, Towards a Stochastic Local Volatility Calibration in QuantLib
André Miemiec, Pricing CMS-Spread Options with QuantLib