qlum15.shtml

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layout: default
title: QuantLib User Meeting 2015
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<h1 class="center" id="qlws14">QuantLib User Meeting 2015</h1>

<p>The QuantLib User Meeting 2015 was held in D&uuml;sseldorf on
November 30th and December 1st, thanks to the sponsorship of
<a href="http://www.ikb.de/">IKB</a>
and <a href="http://www.compatibl.com/">CompatibL</a>.</p>

<center>
  <img src="/images/qlum15.jpg" width="80%" border="0" alt="group photo">
</center>

<p>The slides for most of the the talks are available by clicking on
their title.</p>

<h3>Monday, November 30th</h3>
<table>
  <tr><td>J&ouml;rg Kienitz,
          <i><a href="/slides/qlum15/kienitz.pdf">An Overview of
          Negative Rates, SABR PDE and Approximation</a></i></td></tr>
  <tr><td>Alexander Sokol, <i>Implementing AAD in QuantLib</i></td></tr>
  <tr><td>Ferdinando M. Ametrano and Paolo Mazzocchi,
          <i><a href="https://speakerdeck.com/nando1970/the-abcd-of-forward-rate-bootstrapping">The
          abcd of Forward Rate Bootstrapping</a> / Excel Rate Curve
          Framework</i></td></tr>
  <tr><td>Eric Ehlers,
          <i><a href="/slides/qlum15/ehlers.pdf">Cloud computing in
          QuantLib</a></i></td></tr>
  <tr><td>Klaus Spanderen and Johannes G&ouml;ttker-Schnetmann,
          <i><a href="/slides/qlum15/spanderen.pdf">Calibration of
          Heston Local Volatility Models</a></i> (with a few
          <a href="/slides/qlum15/spanderen.zip">animations</a> not
          included in the slides)</td></tr>
</table>

<h3>Tuesday, December 1st</h3>
<table>
  <tr><td>Peter Caspers,
      <i><a href="/slides/qlum15/caspers1.pdf">Negative rates in
      QuantLib</a> / <a href="/slides/qlum15/caspers2.pdf">AD beyond
      typedef and operator overloading</a></i></td></tr>
  <tr><td>Andreas Pfadler,
      <i><a href="/slides/qlum15/pfadler.pdf">Proof of concept for a
      modern, distributed pricing architecture based on open source
      components</a></i></td></tr>
  <tr><td>Roland Lichters,
      <i><a href="/slides/qlum15/lichters.pdf">CSA Pricing using
      QuantLib</a></i></td></tr>
  <tr><td>Sebastian Schlenkrich,
      <i><a href="/slides/qlum15/schlenkrich.pdf">Multi-curve Pricing
      of Non-Standard Tenor Vanilla Options in
      QuantLib</a></i></td></tr>
  <tr><td>Luigi Ballabio,
      <i><a href="https://www.youtube.com/watch?v=LZbsxs_VGtQ">Ship
      it! QuantLib, IPython Notebook, and Docker</a></i></td></tr>
</table>