Mathematical Models for the Finance Industry

simply closer to the market

Books

FX Options and Structured Products
(2nd Edition), June 2017
Wiley, England

Solution Manual to “FX Options and Structured Products”
ISBN: 978-3-00-057591-4
August 2017
MathFinance , Waldems, Germany

FX Options and Structured Products
November 2006
Wiley, England

joint with Jürgen Hakala
February 2002
Risk Publications, London

ISBN 978-3-00-027081-9
March 2009
MathFinance, Waldems, Germany.

Articles

  1. Strukturierte Produkte im Wandel: Entwicklungen nach der Finanzkrise, Zeitschrift für das gesamte Kreditwesen, 01.11.2017, Seite 1090.
  2. Derivatives Technology as a Matter of Survival, Wilmott Magazine, September 14, 2017, Volume 2017, Issue 91, September 2017, Pages 14–15
  3. FX Volatility Smile Construction, joint with Dimitri Reiswich, Wilmott Magazine, July 3, 2017
  4. Warum moderne Plattformen zur Überlebensfrage werden. Risikomanager March 2 2017
  5. Model Governance: Wie sich das Risiko der Modelle in den Griff bekommen lässt. Risikomanager Sep 2016, pp. 12-14.
  6. Wie Banken ihre Risiken in den Griff bekommen. Börsenzeitung, 01.09.2016
  7. Quant-Modelle: Model Governance als Chefsache. Kreditwesen 2016, pp. 588-590
  8. Brexit: Diese Hedging-Varianten haben Treasurer jetzt, Der Treasurer 03.08.2016
  9. Mathematik macht Schule, Geld Magazin Nr. 05/2017, 11.05.2017, Seite 7
  10. Risiken begrenzen, Chancen nutzen. Der Neue Kämmerer, 01.03.2016
  11. Brexit-Risiko erfordert Absicherung von Pfund-Einnahmen. BörsenZeitung, 01.03.2016
  12. Volatility as Investment – Crash Protection with Calendar Spreads of Variance Swaps, joint with Qixiang Zhou. Journal of Applied Operational Research, Vol. 6 No. 4 pp. 243-254, Nov 2014
  13. Numerical Experiments on Hedging Cliquet Options, joint with Fiodar Kilin, Morten Nalholm. The Journal of Risk, Vol. 17 No. 1, pp. 85-103, Oct 2014, also available at SSRN
  14. Return distributions of equity-linked retirement plans under jump and interest rate risk, joint with Nils Detering and Andreas Weber. European Actuarial Journal, Volume 3, Issue 1 (2013), pp. 203-228, June 2013
  15. Volatility as Investment – Diversification and Crash Protection using Volatility Strategies, joint with Nils Detering and Qixiang Zhou. Research Report No. 30, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. January 2012
  16. Characteristic Functions in the Cheyette Interest Rate Model, joint with Ingo Beyna. CPQF working paper No. 28, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. January 2011
  17. FX Smile in the Heston Model, joint with Agnieszka Janek, Tino Kluge, Rafal Weron. In Statistical Tools for Finance and Insurance, Second Edition, eds. Pavel Cizek, Wolfgang Haerdle, Rafal Weron. Springer, 2011, pp. 133-162
  18. Comparing Return Distributions of Equity Linked Retirement Provision Plans with Different Capital Guarantee Mechanisms and Fee Structures, joint with Nils Detering and Andreas Weber, in Statistical Tools for Finance and Insurance, P. Cizek, W. Härdle and R. Weron (Editors), Springer, 2011, pp. 393-413
  19. A Guide to FX Options Quoting Conventions by Uwe Wystup and Dimitri Reiswich in The Journal of Derivatives, Winter 2010, Vol. 18, No. 2: pp. 58-68
  20. On the Calibration of the Cheyette Interest Rate Model, joint with Ingo Beyna. CPQF working paper No. 25, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. June 2010
  21. Unifying Exotic Option Closed Formulas, joint with Manuel L. Esquível and Carlos Veiga. Review of Derivatives Research, online Oct 2011, in print 2012 Volume 15, Number 2, Pages 99-128. Also available as Research Report No.23, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. January 2010
  22. Issuers’ commitments would add more value than any rating scheme could ever do, joint with Carlos Veiga, in Contemporary Quantitative Finance – Essays in Honour of Eckhard Platen Carl Chiarella, Alexander Novikov (Eds.), Springer. 2010
  23. On the Valuation of Fader and Discrete Barrier Options in Heston’s Stochastic Volatility Model, joint with Susanne Griebsch, Quantitative Finance, Dec 2010, Vol. 11(5), pp. 693-709, also available at SSRN
  24. Foreign Exchange Options – A Trader’s View, joint with Markus Cekan and Armin Wendel, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.727-731
  25. Pricing Formulae for Foreign Exchange Options, joint with Andreas Weber, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.1408-1418
  26. Foreign Exchange Basket Options, joint with Jürgen Hakala, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.717-721
  27. Vanna-Volga Pricing, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp. 1867-1874
  28. Foreign Exchange Symmetries, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.752-759
  29. Quanto Options, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp. 1455-1460
  30. Foreign Exchange Smile Interpolation, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.742-745
  31. Riesterrente im Vergleich – eine Simulationsstudie zur Verteilung der Rendite im Auftrag von Euro-Magazin, mit Nils Detering und Andreas Weber, MathFinance AG. November 2009
  32. FX Volatility Smile Construction, joint with Dimitri Reiswich, Wilmott, Volume 2012, Issue 60, pages 58-69. Also available as Research Report No.20, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. September 2009.
  33. Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen, joint with Andreas Weber, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. August 2008
  34. Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen, joint with Andreas Weber, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. August 2008
  35. Darstellung des Forschungsschwerpunktes Quantitative Finance, in: Müller, Klaus-Peter; Udo Steffens (ed.): Die Zukunft der Finanzdienstleistungsindustrie in Deutschland, Frankfurt am Main: Frankfurt School-Verlag, 2008, S. 205-208
  36. Closed Formula for Options with Discrete Dividends and its Derivatives, joint with Carlos Veiga, Applied Mathematical Finance, Volume 16 Issue 6, 517-531. Also available as Research Report No.16, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management, May 2008
  37. On the Cost of Poor Volatility Modeling: The Case of Cliquets, joint with Fiodar Kilin and Morten Nalholm, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. February 2008
  38. Was kostet die Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen,  joint with Christoph Becker, Research Report No 8, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. January 2008
  39. Instalment Options: A Closed-Form Solution and the Limiting Case, joint with Christoph Kühn and Susanne Griebsch, in Mathematical Control Theory and Finance, edited by A. Sarychev, A. Shiryaev, M. Guerra, M.R. Grossinho. Springer, 211-229. Heidelberg: Springer, 2008. Also available as Research Report No 5, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. February 2007
  40. Die Weltformel des Kapitalismus, DIE ZEIT, Nr 22, 24. June 2006, p.39. Article written by Robert von Heusinger, joint with Uwe Wystup
  41. Nichts für Einzelkämpfer – über Investmentbanker und was sie heute wissen müssen, Staufenbiel Finanzwelt und Beratung, 2005, p.12
  42. On the Cost of Delayed Currency Fixing Announcements joint with Christoph Becker, Annals of Finance, Volume 5, Issue 2 (2009), pp. 161-174
  43. The Heston Model and the Smile, joint with Rafal Weron, Chapter contribution to the book Statistical Tools for Finance and Insurance, eds. Pavel Cizek, Wolfgang Haerdle, Rafal Weron. 2004. (e-book)
  44. Efficient Computation of Option Price Sensitivities for Options of American Style, joint with Christian Wallner, Wilmott. November 2004, pp. 72-81
  45. The market price of one-touch options in foreign exchange markets, Derivatives Week Vol. XII, no. 13, p. 8-9, London 2003
  46. Valuation of options in Heston’s stochastic volatility model using finite element methods, joint with Thomas Apel and Gunter Winkler, Foreign Exchange Risk, Risk Publications, London 2002
  47. How the Greeks would have hedged correlation risk of foreign exchange options, Wilmott Research Report August 2001. Also in Foreign Exchange Risk, Risk Publications, London 2002
  48. Dealing with dangerous digitals, joint with Steven E. Shreve and Uwe Schmock, Foreign Exchange Risk, Risk Publications, London 2002
  49. Efficient computation of option price sensitivities using homogeneity and other tricks, joint with Oliver Reiss, The Journal of Derivatives Vol. 9 No. 2, Winter 2001, also in Foreign Exchange Risk, Risk Publications, London 2002. Also in WIAS Preprint No. 584, (2000)
  50. Monte Carlo simulations and variance reduction techniques, joint with Jürgen Hakala, Bereshad Nonas and Tino Senge, Foreign Exchange Risk, Risk Publications, London 2002
  51. Quasi random numbers and their application to pricing basket and lookback options, joint with  Jürgen Hakala, Tino Senge and Andreas Weber, Foreign Exchange Risk, Risk Publications, London 2002
  52. Vanilla options, Foreign Exchange Risk, Risk Publications, London 2002
  53. Volatility management, Foreign Exchange Risk, Risk Publications, London 2002
  54. The pricing of first generation exotics, joint with  Jürgen Hakala and Ghislain Perissé, Foreign Exchange Risk, Risk Publications, London 2002
  55. Binomial trees in one and two dimensions, joint with Ingo Schneider, Foreign Exchange Risk, Risk Publications, London 2002
  56. Fast Fourier method for the valuation of options on several correlated currencies, joint with Annette Andreas, Bernd Engelmann and Peter Schwendner, Foreign Exchange Risk, Risk Publications, London 2002
  57. Heston’s stochastic volatility model applied to foreign exchange options, joint with Jürgen Hakala, Foreign Exchange Risk, Risk Publications, London 2002
  58. A model for long term foreign exchange options, joint with Anna Davveta, Gian Marco Felice and Jürgen Hakala, Foreign Exchange Risk, Risk Publications, London 2002
  59. Valuation of exotic options under short selling constraints, joint with Steven E. Shreve and Uwe Schmock, Finance and Stochastics VI, 2, 2002
  60. Making the most out of Multiple Currency Exposure: Protection with Basket Options, joint with Jürgen Hakala. The Euromoney Foreign Exchange and Treasury Management Handbook 2002. Adrian Hornbrook
  61. Foreign Exchange Derivatives, joint with Jürgen Hakala. The Euromoney Foreign Exchange and Treasury Management Handbook 2001. Adrian Hornbrook
  62. Valuation of exotic options under short selling constraints as a singular stochastic control problem, PhD Thesis, Carnegie Mellon University, 1998

Media

  1. Der Markt wurde transparenter, BörsenZeitung, 03./04.10.2017, Seite 14, Interview mit Uwe Wystup durch Stefan Schaaf
  2. FX Special: FX structured products could be worth examining again for the right kind of quant. Wilmott, interview by Dan Tudball July 2017
  3. Institutionelle brauchen ein Fixing, BörsenZeitung, 06.04.2016, Artikel von Stefan Schaaf
  4. Der Faktor Unsicherheit, FINANCE, 15.07.2017, Seite 34, Artikel von Desirée Backhaus und Sabine Reifenberger
  5. Wesentlich erfahrener, dpn News, April/Mai 2016, Artikel von Ina Lockhart
  6. Quant Finance: Governance der mathematischen Modelle ist entscheidend, Institutional Money, 25.03.2016
  7. Wir helfen unseren Kunden beim Überleben, BörsenZeitung, 24.03.2016, Seite 13, Interview mit Uwe Wystup durch Stefan Schaaf
  8. Optionen gegen die Volatilität, BörsenZeitung, 24.03.2016, Seite 13, Artikel von Stefan Schaaf
  9. Liquidität bereitet Akteuren Sorgen, Börsenzeitung, 24.03.2016, Artikel von sts
  10. Absolute Return Rountable: Investoren richten ihren Rendite-Kompass neu aus, dpn News, April/Mai 2016
  11. Professor Wystup’s interview in Bizportal, Israel, Sept 8 2012
  12. Trust is good, control is better Complex model validation, Risk Magazine, Oct 2011. Uwe Wystup’s validation of Murex’ Local-Stochastic Volatility Model
  13. Indexfonds sind längst nicht so sicher wie versprochen, Frankfurter Allgemeine Sonntagszeitung, 5. September 2010, Seite 47, Artikel von Christian Siedenbiedel.
  14. Vol Conundrum Solved?, Derivatives Week, vol XIX No. 16, p. 16, 26 April 2010, Uwe Wystup comments on Murex’ Tremor model.
  15. Über Gebührenstruktur genau informieren, Fundresearch, 12. Januar 2010, Interview mit Uwe Wystup
  16. Die Wahrheit über Riester, Frankfurter Rundschau, Nr. 1 / Seite 15-17, 2. Januar 2010, Artikel von Bernd Salzmann.
  17. Riestern lohnt sich nur selten, Frankfurt Allgemeine Sonntagszeitung, Nr. 48 / Seite 45, 29. November 2009, Artikel von Nadine Oberhuber.
  18. Testlauf für den Ruhestand. Exklusiv ermittelt: Die besten Riester- und Rürup-Produkte, Euro, Dezember 2009, Artikel von Ralf Ferken.
  19. Riesterfonds auf dem Prüfstand, Euro-Vorankündigung, 27. Oktober 2009.
  20. Geldanlage & Börse Garantiefonds: Bestseller fressen Rendite, Pressemitteilung, The Associated Press, 25. Oktober 2009.
  21. Was versteht man unter einem CPPI-Modell? Das Investment, 15. September 2009, Leser fragen – Experten antworten.
  22. Garantiefonds – sicherer Hafen oder Rendite-Hemmschuh?, 24. März 2009, Artikel von Toralf Richter Online-Redaktion der Aspect Online AG
  23. Garantiert Kompliziert, DIE ZEIT, 25. September 2008, Artikel von Jürgen Drommert.
  24. Gebühren fressen die staatlichen Zulagen auf, Die Welt, 18. August 2008. Artikel von Barbara Brandstetter.
  25. Die Riester-Räuber, Süddeutsche Zeitung, S. 23, 23. Juli 2008. Artikel von Markus Zydra.
  26. Wetten auf Sommerlöcher, Süddeutsche Zeitung, Nr. 129, Derivate & Zertifikate, S. 38, 5. Juni 2008. Interview von Andrea Hessler.
  27. Arbeite nie für die Banken, GoldSeiten.de, 13. April 2008. Artikel von Manfred Gburek.
  28. Nehmen Sie Ihre Finanzen endlich selbst in die Hand, GoldSeiten.de, 16. März 2008. Artikel von Manfred Gburek.
  29. Sicherheitsprodukte: Enttäuschung garantiert, Wirtschaftsblatt, 8. März 2008. Artikel von Hans-Jörg Bruckberger und Christian Kreuzer.
  30. Bremse getreten, Wirtschaftswoche, 3. März 2008, page 122. Article written by Heike Schwerdtfeger.
  31. Angst wird zum Renditefresser, Financial Times Deutschland, 1. Februar 2008, page 26. Article written by Andreas Preissner.
  32. Garantien kosten Rendite, Börse Online, 15. November 2007. Article written by Tobias Kaiser.
  33. Garantiert teuer, Handelsblatt, 26. Oktober 2007. Article written by Frank Wiebke.
  34. Garantien: Langfristig zu teuer erkaufte Sicherheit , Pressemitteilung von Franklin Templeton, 25. Oktober 2007.
  35. Garantiert überflüssig, Portfolio International, September 2007, p.30. Article written by Cora Gutierrez based on an interview with Uwe Wystup.
  36. Angstige beleggers betalen hoge prijs, Financieele Dagblad, 9 of June 2007, p.10. Article written by Frits Conijn based on an interview with Uwe Wystup.
  37. Anlegerschützer beklagen Wildwuchs bei Zertifikaten, Handelsblatt, 6. Februar 2007, p.33. Article written by Ralf Drescher.
  38. Es war einmal ein fairer Preis, DIE ZEIT, Nr 6, 1. Februar 2007, p.33. Article written by Claas Pieper.

Talks

  1. Exit Strategies for a sick Floan (handout in pdf, slides in pdf), Invited Talk at TU Darmstadt, 07 June 2017
  2. Turagapadabandha, Key note at the 17th Frankfurt MathFinance Conference, 22 April 2017.
  3. Foreign Exchange Risk Management for Indian Corporates, Invited Talk at Great Lakes Institute of Management, Chennai, 7 February 2017.
  4. Floans, Flaws and Flops, Key note at 16th Frankfurt MathFinance Conference, 21 March 2017
  5. Risk Management for the Indian Public Sector. Invited Key note at the Ministry of Heavy Industries and Public Enterprises, Government of India, New Delhi, 7 August 2015.
  6. Foreign Exchange Risk for Indian Importers and Exporters. Invited talk at Indo-German Chamber of Commerce, Kolkata, India, 28 July 2015.
  7. Product and Model Trends in FX Options, Stochastics & Computational Finance 2015 conference, University of Lisbon – ISEG & CEMAPRE, 9 July 2015.
  8. What can go wrong in FX (Derivatives) – when hedging instruments turn into speculative instruments. Exchange Rate Stability conference, University of Copenhagen, Department of Mathematical Sciences, 25 June 2015.
  9. FX Derivatives: Model and Product Trends. Lorentz workshop on Models and Numerics in Financial Mathematics, Leiden, 27 May 2015.
  10. Volatility as Investment – Crash Protection with Calendar Spreads of Variance Swaps. Key note at Actuarial and Financial Mathematics Conference, 5-6 February 2015.
  11. Derivatives Litigation – A Tour through a Series of Scandals. Key note at 14th Frankfurt MathFinance Conference, 14-15 April 2014.
  12. Embedded Currency Exchange Options in Roll-over Loans. 8th World Congress of the Bachelier Finance Society, Brussels 2-6 June 2014
  13. FX Options model and product trends. Key note at 13th Frankfurt MathFinance Conference, 18-19 March 2013.
  14. FX Options model trends. Invited talk at the first Asian Quantitative Finance Conference, National University of Singapore, Jan 9-11 2013.
  15. Ist die Einführung der Riester-Rente vor allem ein Geschenk an die Finanzindustrie? – Gebühren vs. Zulagen, Investmentansätze, Verbraucherinformationen. Betrachtung nach der Finanzkrise German Mathematica Tour Frankfurt, 30. September 2009
  16. Comparison of fee structures and investment concepts for the German Riester-Rente. Risk Europe, Frankfurt, Germany, June 3-5 2009
  17. FX Volatility Smile Construction. Risk Event on modeling and hedging FX Options, London, April 29 2009
  18. FX Basket options valuation with smile. Third Conference on Numerical Methods in Finance, Paris, April 15-17 2009
  19. Efficient Evaluation and Hedging of FX Basket Options with Smile. Cass Business School, London, April 8 2009
  20. On the Cost of Poor Volatility Modeling – The Case of Cliquets. SIAM Conference on Financial Mathematics & Engineering, New Brunswick, New Jersey, November 22 2008
  21. Pricing of First Generation Exotics with the Vanna-Volga Method: Pros and Cons. Probability and Mathematical Finance Seminar, Carnegie Mellon University, November 10 2008
  22. Pricing of First Generation Exotics with the Vanna-Volga Method: Pros and Cons. Keynote at Workshop on Computational Methods for Pricing and Hedging Exotic Options, Mathematics Research Institute, University of Warwick, July 11-12 2008
  23. On the Cost of Poor Volatility Modeling – The Case of Cliquets. Probability and Mathematical Finance Seminar, Carnegie Mellon University, April 21 2008
  24. Ist die Einführung der Riester-Rente vor allem ein Geschenk an die Finanzindustrie? – Gebühren vs. Zulagen, Investmentansätze, Verbraucherinformationen. Frankfurt School im Dialog mit Walter Riester, 12. März 2008
  25. On the Price of a Guaranty – Invited Talk at the Wealth Management & Private Banking 2007, Institute for International Research (I.I.R) B.V. Amsterdam, November 27, 2007
  26. Was kostet der Vollkaskoschutz den deutschen Anleger – Vortrag auf der Morningstar Investment Konferenz Wiesbaden, November 7, 2007
  27. On the Price of a Guaranty – Invited Talk at the Mid-Term Conference on Advanced Mathematical Methods for Finance, September 17-22, 2007
  28. On the Price of a Guaranty – Derivatives: A Need 4U2, Amsterdam, June 7 2007
  29. The Impact of FX Options on the Spot Market and the Cost of Delayed Currency Fixing Announcements – FX & MM Conference, Garmisch-Partenkirchen, March 15-18 2006
  30. Stochastische Volatilität vs. Traders’ Rule of Thumb – Bewertung exotischer Optionen im Vergleich, University of Trier, July 21 2005
  31. On the Cost of Delayed Currency Fixing Announcements (paper in pdf format – slides in pdf format handouts in pdf format Talk audio file in MP3 format). Talk in the Newton Workshop on Quantitative Finance, Newton Institute, University of Cambridge, 4 July 2005
  32. FX Instalment Options – We compare pricing techniques, present a new closed form solution and analyze the limiting case. Joint work with Susanne Griebsch and Christoph Kühn, Goethe University, 3rd World Congress of the Bachelier Finance Society, Chicago, July 24 2004
  33. FX Instalment Options – We compare pricing techniques, present a new closed form solution and analyze the limiting case. Joint work with Susanne Griebsch and Christoph Kühn, Goethe University, Risk Europe, London, April 28 2004
  34. Stochastische Volatilität – Motivation und Anwendung auf die Bewertung exotischer Optionen Antrittsvorlesung, Hochschule für Bankwirtschaft, Frankfurt, Jan 14 2004
  35. FX exotics and the relevance of computational methods in their pricing and risk management – 3 examples about accumulative forwards, instalments and Greeks. Winter school on Mathematical Finance, Lunteren, Dec 17-19 2003
  36. Wie verdienen die Banken Ihr Geld European Banking and Insurance Fair, Frankfurt, Oct 28 2003
  37. RISK training course on volatility forecasting and modelling techniques, London, June 26-27 2003 Applying stochastic volatility models to pricing FX exotic options up to the market
  38. Oxford University, England, June 25 2003, Hedging correlation risk in foreign exchange options markets
  39. Goethe University, Frankfurt (Germany), May 9 2003, How the Greeks would have hedged correlation risk in foreign exchange options markets
  40. Technical University, Munich (Germany), April 25 2003, Pricing one-touch FX options up to the market – a comparison of the trader’s rule of thumb and stochastic volatility models
  41. McMaster University, Hamilton (Canada), February 25 2003, Pricing one-touch FX options up to the market – a comparison of the trader’s rule of thumb and stochastic volatility models
  42. Second World Congress of the Bachelier Finance Society, Agia Pelagia (Crete), June 12-15 2002, Stochastic volatility models applied to foreign exchange options
  43. Frankfurt MathFinance Workshop, April 3-5 2002, Structured products and how banks are making money
  44. Columbia University, New York, March 1 2002, Stochastic volatility models applied to foreign exchange options
  45. RISK training course on pricing, hedging and trading exotic derivatives, London, Feb 11-12 2002, New York March 4-5 2002 Ensuring efficient hedging of barrier options
  46. Joint Colloquium of the Universities of Giessen and Marburg, Germany, Feb 5 2002, Stochastic volatility models applied to foreign exchange options
  47. Financial Engineering Lab, University of Twente, The Netherlands, Jan 18 2002, Stochastic volatility models applied to foreign exchange options
  48. Hochschule für Bankwirtschaft (Frankfurt), Dec 15, 19 and 20 2001, Mathematik für Finanzderivate, joint with Heinz Cremers, Martin Hellmich, Xuyen Truong and Wolfgang Schmidt
  49. Center of Finance and Risk Management, University of Mainz, Germany, Dec 5 2001, Heston’s stochastic volatility model applied to foreign exchange options
  50. Hochschule für Bankwirtschaft (Frankfurt), Oct 26 2001, Neue Quantitative Methoden im Bereich Devisenoptionen
  51. Hochschule für Bankwirtschaft (Frankfurt), Oct 5 2001, Introduction to Monte Carlo Simulation and its application to pricing derivatives
  52. The Financial Options Research Centre, University of Warwick, UK, Sept 10-11 2001, Heston’s stochastic volatility model applied to foreign exchange options
  53. Frankfurt MathFinance Colloquium at Goethe University, Workshop on Stochastic Volatility, May 18 2001, Heston’s stochastic volatility model applied to foreign exchange options
  54. Stern School of Business at New York University, Financial Engineering Associates Colloquium, Dec 11 2000, Trading floor quants – How quantitative analysts interact with traders, structurers and marketers
  55. Hochschule für Bankwirtschaft (Frankfurt), Dec 2000, How the Greeks would have hedged correlation risk of foreign exchange options
  56. RISK training course on interest rate modelling, London, May 24-25 2001, Long Term FX Options: Model and Calibration
  57. RISK training course on pricing, hedging and trading exotic derivatives, London, Dec 7-8, and New York, Dec 11-12 2000, Ensuring efficient hedging of barrier options
  58. Konstanz University, workshop on mathematical finance, Oct 5-7 2000, Efficient computation of option price sensitivities using homogeneity and other tricks
  59. National Institute of Management (Calcutta), July 11 2000, Introduction to mathematical finance
  60. Mathematical Research Center (Oberwolfach), Stochastic Analysis in Finance and Insurance, May 7-13 2000, Efficient computation of option price sensitivities using homogeneity and other tricks
  61. Technical University (Vienna), Adaptive Friday, March 14 2000, Computational aspects of option valuation in practice of daily trading
  62. International University (Bruchsal), Colloquium, March 13 2000, Financial markets: quantitative aspects
  63. Mexican Academy of Sciences (Mexico City), Foro: Matematicas Financieras, Dec 2-3 1999. Computational aspects of option valuation in practice of daily trading: correlation, Greeks, hedge cost supplements
  64. Technical University (Munich), Nov 12 1999, Dealing with dangerous digitals
  65. Weierstrass-Institute (Berlin), Colloquium, May 31 1999, Aspects of symmetry, homogeneity and duality in the Black-Scholes option pricing formula and their relevance for changing from national currencies to the Euro
  66. Allahabad Bank (Calcutta), July 1999, What is mathematical finance?
  67. Carnegie-Mellon-University (Pittsburgh), Computational Finance Research Seminar, Feb 2 1999, How the Greeks would have hedged correlation risk of foreign exchange options
  68. Gutenberg-University (Mainz), Dec 1998, Dealing with dangerous digitals
  69. Humboldt-University (Berlin), Workshop on Mathematical Finance, Dec 4-6, 1998, Dealing with dangerous digitals
  70. Goethe-University (Frankfurt), May 1998, Valuation of exotic options under short selling constraints as a singular stochastic control problem
  71. Indian Institute of Technology (Kharagpur), August 1995, Option pricing with binomial trees