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...
by Ansua Dutta-Wystup | Mar 29, 2019 | Newsletter
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...
by Ansua Dutta-Wystup | Mar 4, 2019 | Newsletter
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:...
by Ansua Dutta-Wystup | Jan 22, 2019 | Newsletter
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...
by Ansua Dutta-Wystup | Dec 19, 2018 | Newsletter
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...
