Workshop Venue


SAS Adriatic Region

AZ fond

Erste Plavi

PBZ-CO fond

RBA fond

Croatian Quants Day, 17 April 2009


After our first meeting was met with a very warm reception, we decided to organize yet another CQD. The new workshop looks almost necessary in the time of the ongoing and unprecedented financial crisis. It is certainly interesting to see that some of the fingers were pointed at misuse and misunderstanding of the quantitative methods in finance. At the same time, our regional financial industry struggles with its own problems trying to comply with all the new regulations and the turmoil on the world financial markets.


The organizer intends to provide an arena for all the practitioners and researchers of quantitative finance in the region, to discuss the benefits and drawbacks of the different approaches, principles and practice. Also the students of our Master program in Financial Mathematics are encouraged to participate. Hence, we invite speakers with different backgrounds and each speaker is expected to give a talk followed by a discussion. The program this year consists of 4 to 5 talks given by eminent people from the international financial industry and academia, and 5 to 7 slightly shorter talks given by people working in Croatia. If you wish to give such a talk please let us know by  March 10th 2009.


The main organizer of the meeting is Mathematics Department – University of Zagreb, supported by donations of four main Croatian pension funds.

Past event: CQD 2008 Pictures



Plenary speakers :


Bent Jesper Christensen , Aarhus University, Denmark : Volatility Persistence and Asset Market Fluctuations
Andreas E. Kyprianou , University of Bath, UK : Smooth and continuous fit principles for American options
Daniel Straumann , Riskmetrics, USA : The incremental risk charge in Basel II
Peter Tankov , Centre de Mathematiques Appliques, Ecole Polytechnique, France : Managing, pricing and hedging jump risk: from guaranteed funds to gap options


Invited speakers (local):


Siniša Gjerek , Aureus Invest, Zagreb : Introduction to algorithmic trading systems: a view from practice
Denis Lukić , HPB, Zagreb : Risk Measures and Backtesting
Mario Varjačić , HNB, Zagreb : Implementing IRB in Croatia - key challenges
Maruška Vizek , Ekonomski Institut, Zagreb : Determinants of house prices in transition economies
Mislav Žigo , PBZ Zagreb : Fitting distributions to financial data - problems in practice