Newsletter May 2019 SLV vs. Vanna-Volga

Editorial Reverse-Knock-Out Pricing Case Study: Stochastic Local Volatility vs. Vanna-Volga Today, let’s revisit pricing a reverse knock-out option (RKO). This call or put option knocks out if at any time between trading time and the expiry date the spot hits or...

NEWSLETTER 351 APRIL 2019

Editorial MathFinance Conference Recap The 19thMathFinance Conference we held in Frankfurt on 8-9 April 2019 was once more the key event in Germany for quants. More than 110 registered participants attended. In a market with more standardization and regulation, and a...

NEWSLETTER 350 MARCH 2019

Editorial Mustache to Touch – Visualizing Model Risk for Exotics For vanilla options, the volatility smile shows the implied volatility in the Black-Scholes model and is interpreted as the deviation of the market from the normal returns assumed by the Black-Scholes...

NEWSLETTER 349 FEBRUARY 2019

Editorial Crypto Currency Derivatives EUR-USD options traders are complaining about very low volatilities around 7.5% and find it hard to interpret given the political circumstances. But for all of those who prefer higher volatilities, there is an instant solution:...

NEWSLETTER 348 JANUARY 2019

Editorial Newsletter Editorial January 2019 Once again:MathFinance Conference (8-9 April) – for the 19thtime we will bring the quantitative finance community in Europe together to discuss many cutting edge issues and research results. We are looking forward to...

NEWSLETTER 347 DECEMBER 2018

Editorial The Sales-Margin Transparency Farce The current commercial blast between Black Friday and Christmas inspires me to explain the sales margin in a financial product and its transparence overlay-farce. Consumers are often led to think that zero-cost products...