by Ansua Dutta-Wystup | Mar 29, 2019 | Uncategorised
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 | Uncategorised
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 | Uncategorised
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 | Uncategorised
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...
by Ansua Dutta-Wystup | Dec 2, 2018 | Uncategorised
Editorial Payoff, P&L and Effective Exchange Rate Diagrams Today, we go back to financial products 101 and discuss payoff, P&L and financial exchange rate diagrams. The reason is that I regularly experience confusion and misconception, thus it is time to...
by Ansua Dutta-Wystup | Oct 31, 2018 | Uncategorised
Editorial Tender-Linked FX Forwards Financial product innovation in FX markets has slowed down enormously in the second decade. The big innovation for treasurers in the first decade was the target redemption forward, which has now become a standard range of products...
