by Abhishek Dutta | Oct 28, 2020 | In the Press
Editorial MathFinance Conference Recap The 20th MathFinance Conference we held online first time and was once more the key event for quants. Many participants from all over the world could join us this year, including Singapore, Saudi, South Africa, Europe, America...
by Abhishek Dutta | Aug 18, 2020 | In the Press
MathFinance Newsletter Editorial Mixed Local Volatility Model Boosts Distribution of Exotics As a market maker for FX Derivatives, and especially flow products on a single dealer platform, one needs the best trade-off between precision and speed in one’s exotics...
by Abhishek Dutta | Aug 10, 2020 | In the Press
MathFinance Conference 2020 1 October 2020 Online Webinar MathFinance is excited to host its first digital conference. This year we have an excellent line-up of speakers from both the professional and academic world presenting relevant and cutting-edge topics in the...
by Abhishek Dutta | Jun 30, 2020 | In the Press
Editorial Derivatives Risk Management and Aviation Working in derivatives risk management and the cockpit of a plane has much in common. There are stunning similarities already in the number of screens and indicators one observes and needs to pay attention to while...
by Abhishek Dutta | May 4, 2020 | In the Press
The last time FX volatility smile construction approaches were reviewed was post October 2008. In an interview with Wilmott magazine, Dr.Uwe Wystup suggests that the Covid-19 crisis may trigger another revisit. Read article here.
by Abhishek Dutta | Apr 29, 2020 | Newsletter
Editorial Interview with Dr. Thorsten Schmidt, Senior Financial Engineer, MathFinance, and Professor for Mathematical Stochastics at University of Freiburg What are recent challenges in the insurance sector? The low interest rate regimes challenge insurance...
by Abhishek Dutta | Mar 6, 2020 | Newsletter
Editorial Vanna-Volga and the Greeks Many people ask us what’s so special about calculating Greeks in the vanna-volga approach. Isn’t it like calculating bumped values and ratios of differences? On the other hand, did you ever wonder, why for instance a...
by Ansua Dutta-Wystup | Feb 18, 2020 | Newsletter
Upcoming Events Postponement- MathFinance Conference 2020 1-2 September, 2020 Marriott Hotel, Canary Wharf, London In view of the uncertainty caused by the Coronavirus outbreak, MathFinance has decided to postpone its 20th annual MathFinance Finance conference to a...
by Uwe Wystup | Dec 30, 2019 | Newsletter
Editorial Vertically and Crosswise With constantly moving spots MathFinance has moved its Frankfurt office to Kaiserstraße 50, located between the central station and the old ECB building. Looking at the Frankfurt map, this was a vertically and crosswise move....
by Ansua Dutta-Wystup | Nov 27, 2019 | Newsletter
Editorial Can you replicate a call option with two European digital options? A European digital pays one unit of currency (domestic or foreign) at a predefined expiry date, if on that date the observed FX spot fixes above a predefined strike level. Can you statically...
