Newsletter June 2019 DCD in Ugandan Shilling

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...

Newsletter May 2019 SLV vs. Vanna-Volga

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...

NEWSLETTER 351 APRIL 2019

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...