by Ansua Dutta-Wystup | Aug 31, 2019 | Newsletter
Editorial Interview with Frédéric Bossens on FX Derivatives Pricing Models Fred, you recently joined MathFinance as senior FX quant. How did you ever get into this field? A bit incidentally to be honest. I started my career as an R&D engineer in the field...
by Ansua Dutta-Wystup | Aug 7, 2019 | In the Press
Visualizing model risk for exotics. Read article here.
by Ansua Dutta-Wystup | Aug 7, 2019 | In the Press
How does the sell side make money with financial products, particularly with zero‐cost strategies? Read article here.
by Ansua Dutta-Wystup | Aug 7, 2019 | In the Press
Article about covering the possibilities that Greeks in FX create.
by Ansua Dutta-Wystup | Aug 7, 2019 | In the Press
Article about the Idea of a EUR/CHF Carry Trade
by Ansua Dutta-Wystup | Aug 7, 2019 | In the Press
Common questions about digital options with not‐so‐common answers…Check full article here
by Ansua Dutta-Wystup | Jul 30, 2019 | Newsletter
Editorial Long Call Option with Negative Time Value In general derivatives textbooks the value of a call option is often presented as the sum of the intrinsic value max(0,ST-K) and the time value as illustrated in Figure1. As usual, I denote by STthe spot price at...
by Ansua Dutta-Wystup | Jul 11, 2019 | In the Press
Check out here to read more about the how’s, why’s and what-if’s of FX Options in this interview of Uwe Wystup in the Bachelier Finance Society Newsletter
by Ansua Dutta-Wystup | Jun 30, 2019 | Newsletter
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...
by Ansua Dutta-Wystup | May 28, 2019 | Newsletter
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...
