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