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 | 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...
by Ansua Dutta-Wystup | Jun 30, 2019 | Newsletter
Editorial DCD in Ugandan Shilling For exporters in Uganda there can be attractive short term investments in USD with a high coupon (in USD), since there are currency options trading in Uganda Shilling (UGX). The exporter receiving and hence selling USD for UGX, can...
by Ansua Dutta-Wystup | May 28, 2019 | Newsletter
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...
by Ansua Dutta-Wystup | Apr 30, 2019 | Newsletter
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...
