Marco Marchioro

Learning Quantitative Finance with QuantLib

Recent Conferences, Seminars, and Workshops

  • June 2015, Berlin-Princeton-Singapore Workshop on Quantitative Finance. Risk contribution framework for
    non-linear portfolios
  • November 2014, PRMIA Singapore—Risk Modelling – Applications, Simplicity or Complexity. Computation of risk components for derivative portfolios
  • 2014, Stanford Workshop in Quantitative Finance: Statistical Issues. Numerical Computation of VIX-
    Futures Risk Components
  • 2014, Second NUS—Stanford Workshop in Quantitative Finance: Statistical Issues. Numerical Computa- tion of VIX-Futures Risk Components
  • 2014, Second NUS Workshop on Risk and Regulation. Risk contribution of commodity derivatives

NUS-UTokyo Workshop on Quantitative Finance 2013

This workshop on quantitative finance gave me the opportunity to get to know what is the state of the art of financial engineering in east Asia. I gave a seminar on a new method we developed to compute risk for VIX futures.

StatPro Cloud Summit 2012

The StatPro Cloud Summit took place on September 13th, 2012, 29 floors up in the clouds at the top of Millbank Tower, London. It was the first summit for revolution where portfolio managers, fund administrators, analysts, sales directors, and marketing professionals from the global investment market shared some insightful presentations and there was a lively debate. 

In my presentation I have shown a novel method that we are researching that allows the computation of risk attribution for complex portfolios. The details of the presentation cannot be freely shared because a patent application is being prepared on the method developed.

Guest lecture at The Master of Quantitative Finance, University of Bologna, March 2012

On March 7th, 2012, I gave a guest lecture in Bologna for the students of the master in Quantitative Finance. The topic chosen for the lecture was the importance of the convenience-yield risk variable in the computation of risk for long-dated commodity derivatives. You can download the slides of my presentation here.  

The First QuantLib Forum

On January, 18th, 2011, a number of QuantLib "fans" gathered at the Marriot Hotel in Canary Wharf, London, UK, to celebrate the first QuantLib forum. This is a link to the official forum page on the StatPro website where you can also download the forum brochure: London QuantLib Forum January 18, 2011.pdf

I personally believe the event was a great success and we had great feedback (anyway if you were at he event and would like to comment to me please drop me a line).  I met many people that were interested in QuantLib for many different reasons: beginners, people interested in pricing only, people interested in risk management only, users of the QuantLibXL add-in, people interested in the C++, and so on and so forth.

Many people at the conferences liked my presentation and wrote to me, in private, to ask for the spreadsheet used to compute the historical simulation of bond prices: here it is

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