by Ansua Dutta-Wystup | Oct 29, 2019 | In the Press
Two heavyweight vol models punch it out. Read article here.
by Ansua Dutta-Wystup | Oct 29, 2019 | Newsletter
Editorial First MathFinance Asia Conference in Singapore MathFinance Asia successfully hosted its 1st conference in Singapore at the Fullerton Hotel on 18th October 2019. The conference was well attended, with many attendees from over several regional and...
by Ansua Dutta-Wystup | Sep 30, 2019 | Newsletter
Editorial Static Replication of a FOR-paying Double-No-Touch with One Double-Knock-Out Option How can we statically replicate a double-no-touch contract (DNT) paying one unit of foreign currency using just one double-knock-out option? Let the barriers be L and H for...
by Ansua Dutta-Wystup | Aug 31, 2019 | Newsletter
Editorial Interview with Frédéric Bossens on FX Derivatives Pricing Models Fred, you recently joined MathFinance as senior FX quant. How did you ever get into this field? A bit incidentally to be honest. I started my career as an R&D engineer in the field...
by Ansua Dutta-Wystup | Aug 7, 2019 | In the Press
Visualizing model risk for exotics. Read article here.
by Ansua Dutta-Wystup | Aug 7, 2019 | In the Press
How does the sell side make money with financial products, particularly with zero‐cost strategies? Read article here.
by Ansua Dutta-Wystup | Aug 7, 2019 | In the Press
Article about covering the possibilities that Greeks in FX create.
by Ansua Dutta-Wystup | Aug 7, 2019 | In the Press
Article about the Idea of a EUR/CHF Carry Trade
by Ansua Dutta-Wystup | Aug 7, 2019 | In the Press
Common questions about digital options with not‐so‐common answers…Check full article here
by Ansua Dutta-Wystup | Jul 30, 2019 | Newsletter
Editorial Long Call Option with Negative Time Value In general derivatives textbooks the value of a call option is often presented as the sum of the intrinsic value max(0,ST-K) and the time value as illustrated in Figure1. As usual, I denote by STthe spot price at...
