von Abhishek Dutta | Jun 30, 2020 | In der Presse
Editorial Derivatives Risk Management and Aviation Working in derivatives risk management and the cockpit of a plane has much in common. There are stunning similarities already in the number of screens and indicators one observes and needs to pay attention to while...
von Abhishek Dutta | Mai 4, 2020 | In der Presse
The last time FX volatility smile construction approaches were reviewed was post October 2008. In an interview with Wilmott magazine, Dr.Uwe Wystup suggests that the Covid-19 crisis may trigger another revisit. Read article here.
von Abhishek Dutta | Apr 29, 2020 | Newsletter
Editorial Interview with Dr. Thorsten Schmidt, Senior Financial Engineer, MathFinance, and Professor for Mathematical Stochastics at University of Freiburg What are recent challenges in the insurance sector? The low interest rate regimes challenge insurance...
von Abhishek Dutta | Mrz 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...
von 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...
von Uwe Wystup | Dez 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....
von 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...
von Ansua Dutta-Wystup | Okt 29, 2019 | In der Presse
Two heavyweight vol models punch it out. Read article here.
von Ansua Dutta-Wystup | Okt 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...
von 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...