MathFinance Products

1. FX Vanilla Option Pricer with detailed handling of the FX smile surface. Based on the input smile this tool allows computing values of vanilla put and call options with all relevant market conventions for spot date, spot value date, expiry date, delivery date. It comes as an XLL with excel front end. It has been sold to several of our clients. It can be useful for auditors, regulators and anybody who does not have the capacity to programm it.


2. FX Option Pricer calculating the TV (theoretical value), Greeks (delta, gamma, theta, rho domestic, rho foreign, vega, vanna, volga), Vanna-Volga value

   Products covered include

   • Vanilla
   • Digital
   • OneTouch/NoTouch
   • DoubleOneTouch/DoubleNoTouch
   • Single Barrier (European and American)
   • Double Barrier
   • Single Window Barrier
   • Double Window Barrier, also with window in the middle
   • American knock-out European knock-in Barrier
   • Faders
   
   Product Flyer
   
   The FX Option pricing library is available as a DLL, XLL (windows) or SO (for unix/linux). As a test environment we provide a spread sheet for the windows version and text file for the linux version. A user's manual describes the details of the model, functions and integration. For the OneTouch and NoTouch it is free and can be downloaded here. The library also runs on our own online calculator.


3. MathFinance Pricing and Simulation Engine for exotic derivatives using the models
   • Implied volatility surface interpolation and parametrization
   • Local volatility
   • Stochastic volatility (Heston, Schott-Chesney)
   • Jump diffusion and Levy
   • Stochastic volatility with jumps (Bates)
   • Vanna volga
   • Mixture models (mixing log normals)
   • Static, semi-static replication and superreplication
   Main focus on FX, also equities, some IR basics (one and two factor Vasicek, Hull-White, bootstrapping).


4. MathFinance Investment Simulator allows analysing and comparing investment strategies, especially for the long term, with and without guarantees. You enter how you want to invest (one-time, yearly, monthly), we compute federal bonus payments and the distribution of the capital available when you retire. The strategies include
   • Classic life insurance
   • Live insurance linked to funds
   • CPPI
   • Hyprid approaches
   • Bank savings plan
   We use a jump diffusion model and allow arbitrary investment strategies and fee structures, with a special focus on the German Riester-Rente. Our Investment Simulator has been used for comparative studies ordered by DWS, AXA, EURO-Magazin.


5. The Book Foreign Exchange Risk, a Risk Publication edited by Jügen Hakala and Uwe Wystup


6. The Book FX Options and Structured Products, Wiley Finance by Uwe Wystup


7. The MathFinance CD ROM, an educational collection with lots of useful papers, links and source code


8. The Ultimate Quant Cheat Sheet, a charity project


9. Tailor made prototypes of pricing and hedging tools for derivatives in c++, Mathematica, visual basic

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