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...
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 | 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...
