by Abhishek Dutta | Mar 6, 2020 | Newsletter
Editorial Vanna-Volga and the Greeks Many people ask us what’s so special about calculating Greeks in the vanna-volga approach. Isn’t it like calculating bumped values and ratios of differences? On the other hand, did you ever wonder, why for instance a...
by Ansua Dutta-Wystup | Feb 18, 2020 | Newsletter
Upcoming Events Postponement- MathFinance Conference 2020 1-2 September, 2020 Marriott Hotel, Canary Wharf, London In view of the uncertainty caused by the Coronavirus outbreak, MathFinance has decided to postpone its 20th annual MathFinance Finance conference to a...
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...
