Presentations
2010
2007
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Efficient risk by
simulation in market models for TARNs & callables, WBS 4th Fixed Income
Conference, London, UK, September.
2006
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Generic and CMS market models and measures, WBS
Interest Rate Derivatives & Hybrids Workshop,
London,
UK,
March.
2005
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Optimization methods for risk management of interest rate
derivatives, Seminar on "Mathematical models for financial optimization",
Thirtieth Conference on the Mathematics of Operations Research, Lunteren, The
Netherlands, January.
-
Generic market models, Global Risk Management Summit, Monte
Carlo, Monaco, April.
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Generic market models, Belgian Financial Research Forum,
Antwerp, Belgium, May.
-
Importance sampling for stable greeks in the LIBOR
market model for targeted accrual redemption notes (TARNs), Risk's Quant
Congress,
London,
UK,
November.
2004
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Rank reduction of correlation matrices by majorization, Belgian
Financial Research Forum, Brussels, Belgium, May.
-
Rank reduction of correlation matrices by majorization, MC2QMC
Conference, Juan-les-Pins, France, June.
-
Rank reduction of correlation matrices by majorization, ECMI
Conference, Eindhoven, The Netherlands, June.
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A comparison of single-factor Markov-functional and
multi-factor market models, RODEO Research Forum, Antwerpen, Belgium,
September.
-
Generic market models, Stochastics Colloquium, Utrecht
University, The Netherlands, December.
2003
-
Risk managing Bermudan swaptions in a LIBOR model, Global
Finance Conference, Frankfurt/Main, Germany, June.
-
Risk managing Bermudan swaptions in a LIBOR model, Blaise
Pascal International Conference on Financial Modelling, Paris, France, July.
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Efficient rank reduction of correlation matrices, Quantitative
Methods in Finance Conference, Sydney, Australia, December.
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Efficient rank reduction of correlation matrices, Winter School
on Mathematical Finance, Lunteren, The Netherlands, December.
2002
-
Fast drift approximated pricing in the BGM model, Mathematics
in Finance Conference, Kruger National Park, South Africa, August.
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Fast drift approximated pricing in the BGM model, ERIM/ECFR/TI
Seminar, Erasmus University Rotterdam, The Netherlands, October.
-
Risk managing Bermudan swaptions in a LIBOR model, Young
Financial Researchers Day, Tilburg University, The Netherlands, November.
-
Fast drift approximated pricing in the BGM model, Quantitative
Methods in Finance Conference, Cairns, Australia, December.