0 Items

    Simply closer
to the market

Our Publications

Introducing our diverse and insightful publications, where knowledge meets innovation. At MathFinance, our aim is to bring you the latest trends and breakthroughs in the market.

Explore cutting-edge research, expert analysis, and practical strategies to stay ahead. From quantitative finance to risk management, our publications cover a wide range of topics, tailored to both seasoned professionals and curious minds. Dive into a world of opportunities and unlock the potential within with Mathfinance. Simply closer to the market.

Our Books

FX Options and Structured Products

FX Options and Structured Products, Second Edition is your go-to road map to the exotic options in FX derivatives.

(2nd Edition), June 2017
Wiley, England

Buy at Amazon

FX Options and Structured Products

FX Options and Structured Products, First Edition is your go-to road map to the exotic options in FX derivatives.

November 2006
Wiley, England

Buy at Amazon

Foreign Exchange Risk

joint with Jürgen Hakala

Provides all the vital quantitative tools for foreign exchange options in a clear and logical manner. Covers the financial management of foreign exchange risk together with ysis of different methods for mitigating and controlling cross currency price differentials.

Buy at Amazon

Solution Manual to “FX Options and Structured Products”

ISBN: 978-3-00-057591-4
August 2017
MathFinance , Frankfurt, Germany

Purchasing instructions:
This manual is sold through MathFinance at a total price of EUR 29.50 (Excl. Postage and handling and 7% VAT). If you wish to order this item or place bulk orders please contact us at info@mathfinance.com.

Mathfinance Cheat Sheet

ISBN 978-3-00-027081-9
März 2009
MathFinance, Waldems, Deutschland.

Our Articles

FX-Column by Prof. Dr. Uwe Wystup

  1. FX Column “Click-and-Trade  Structured Products for Wealth Management“, Wilmott, Volume 2024, issue 134, November 2024 pp. 14-15. (Preprint  )
  2. FX Column “Worth a Try?” Wilmott, Volume 2024, issue 133, September 2024, pp. 24-25. (Preprint )
  3. FX Column “Why are AUD-USD Risk Reversals always Negative?” Wilmott, Volume 2024, issue 132, July 2024, pp. 14-17. (Preprint   )
  4. FX Column “Lumberjack and AUD-USD TARF During the Corona Pandemic”, Wilmott, Volume 2024, issue 131, May 2024, pp. 10-12. (Preprint  )
  5. FX Column “TKO with DKOs”, Wilmott, March 2024, issue 130, pp. 10-12. (Preprint )
  6. FX Column “Exotics Pedigree”, Wilmott, January 2024, issue 129, pp. 6-9. (Preprint )
  7. FX Column “Slope Matters to Land on the Right Price”, Wilmott, November 2023, issue 128, pp. 10-14. (Preprint )
  8. FX Column “OTC Currency Digital Contracts – Traded Price vs. Platform/Model Price”, Wilmott, September 2023, issue 127, pp. 24-27. (Preprint )
  9. FX Column “Shorts Shouldn’t be Worn to Long”, Wilmott, July 2023, issue 126, pp. 4-6. (Preprint )
  10. FX Column “Quick and Dirty – Short Cuts for Option Lovers”, Wilmott, May 2023, issue 125, pp. 91-93. (Preprint )
  11. FX Column “The Salzburg Financial Scandal”, Wilmott, March 2023, issue 124, pp. 16-17. (Preprint )
  12. FX Column “How Can a Long Call Option be Long Gamma, Long Theta and Short Theta?”, Wilmott, January 2023, issue 123, pp. 12-14. (Preprint )
  13. FX Column “Basis Madness”, Wilmott, November 2022, issue 122, pp. 16-18. (Preprint )
  14. FX Column “Negative Butterflies and Why We Check Butterfly Arbitrage by a Non-Negative Probability Density”, Wilmott, September 2022, issue 121, September 2022, pp. 48-49. (Preprint )
  15. FX Column “Going Forward Step by Step”, Wilmott, July 2022, issue 120, pp. 14-16. (Preprint )
  16. FX Column “Uncle Herbert’s Savings Plan with Bonus and the Legal Aftermath”, Wilmott, May 2022, issue 119, pp. 20-21. (Preprint )
  17. FX Column “Can volga of a long vanilla option be negative?”, Wilmott, March 2022, issue 118, pp. 16-18. (Preprint )
  18. FX Column “KOAMKIEU and the psychology of derivatives in private banking”, Wilmott, January 2022, issue 117, pp. 20-21. (Preprint )
FX-Columns Archive 2021-2017

 

  1. FX Column “Why Call Prices Decrease as the Probability of Up-Jumps Increases – A Riddle from the World of Jump-Diffusion Processes”, Wilmott, Volume 2021, issue 116, November 2021, pp. 24-27
  2. FX Column “Before Takeoff – Model Validation Checklist”, Wilmott, Volume 2021, issue 115, September 2021, pp. 18-21
  3. FX Column “Vedic Mathematics – Teaching an Old Dog New Tricks”, Wilmott, Volume 2021, issue 113, May 2021, pp. 14-17
  4. FX Column “Cable, Sterling, Loonies, and Nokkies”, Wilmott, Volume 2021, issue 112, March 2021, pp. 8-11
  5. FX Column “What is a Currency Option?”, Wilmott, Volume 2021, issue 111, January 2021, pp. 14-15
  6. FX Column “Mixed Local Volatility Model to Boost Distribution of Exotics”, Wilmott, Volume 2020, issue 110, December 2020, pp. 34-37
  7. FX Column “Derivatives risk management and aviation”, Wilmott, Volume 2020, issue 109, September 2020, pp. 91-21
  8. FX Column “vanna-volga-and-the-Greeks”, Wilmott, Volume 2020, issue 108, July 2020, pp. 14-16
  9. FX Column “Kiko Tarn revival in Asia”, Wilmott, Volume 2020, issue 107, May 2020, pp. 12-19
  10. Calendar Arbitrage in the FX Volatility Surface, Wilmott Magazine, Volume 2020, issue 106, March 2020, pp. 10-11
  11. Correlation 101, Wilmott Magazine, volume 2020, issue 105, January 2020, pp. 29-31
  12. Shedding Light on Common Misconceptions, Wilmott Magazine, volume 2019, issue 104, November 2019, pp.16-19
  13. Reverse Knockout Pricing Case Study: Stochastic Local Volatility versus Vanna-Volga, Wilmott Magazine, volume 2019, issue 103, October 2019, pp.16-17
  14. Mustache to Touch, Wilmott Magazine, volume 2019, issue 102, July 2019, pp.10-11
  15. The Sales-Margin Transparency Farce, Wilmott Magazine, volume 2019, issue 101, May 2019, pp. 18-19
  16. Exit Strategies for a Sick Floan, Wilmott Magazine, volume 2019, Issue 100, March 2019, pp. 32-35
  17. FX Greeks, Wilmott Magazine, Volume 2019, Issue 99, January 2019, pp. 16-19
  18. How Can a 50/50 Bet Have Odds of 1:2 Instead of 1:1?, Wilmott Magazine, Volume 2018, Issue 98, November 2018, pp. 34-35
  19. Arbitrage in the Perfect Volatility Surface, Wilmott Magazine, Volume 2018, Issue 97, September 2018, pp. 16-17.
  20. Structuring an Inverse Dual Currency Investment, Wilmott Magazine, Volume 2018, Issue 96, July 2018, pp. 20-21.
  21. Can vega of a double‐no‐touch be positive?, Wilmott Magazine, Volume 2018, Issue 94, March 2018, pp. 22-23.
  22. What Happened to Currency Fixings?, Wilmott Magazine, Volume 2018, Issue 93, January 2018, pp. 44-45
  23. Derivatives Technology as a Matter of Survival, Wilmott Magazine, Volume 2017, Issue 91, September 2017, pp.14–16

Media 2023 – 2007 

Interviews & Articles (international)

 

  1. Hedge funds’ use of barrier options comes under spotlight. Article by Joe Parsons with Uwe Wystup’s explanations on hedging USDJPY One-Touch contracts, , 9 May 2023
  2. MSCI’s baffling $400m options splurge. Article by Ben St. Clair with Uwe Wystup’s analysis of USDCNH options profit, , 5 May 2022
  3. The Minimum of the Smile Fit is Not Even in The Market. Uwe Wystup’s interview by Wilmott, 21 April 2020.
  4. Quantitative Finance and Exotic Optons, 18.12.2019, The Wall Street Lab, Podcast with Dr.Wystup
  5. FX Special: FX structured products could be worth examining again for the right kind of quant. Wilmott, interview by Dan Tudball July 2017
  6. 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.
  7. Numerical Experiments on Hedging Cliquet Options, joint with Fiodar Kilin, Morten Nalholm. The Journal of Risk, Vol. 17 No. 1, Oct 2014, pp. 85-103.
  8. 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.
  9. Professor Wystup’s interview in Bizportal, Israel, Sept 8 2012
  10. Volatility as Investment – Diversification and Crash Protection using Volatility Strategies, joint with Qixiang Zhou. Also available as Research Report No. 30, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. January 2012.
  11. 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.
  12. 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.
  13. Trust is good, control is better Complex model validation, Risk Magazine, Oct 2011. Uwe Wystup’s validation of Murex’ Local-Stochastic Volatility Model
  14. On the Calibration of the Cheyette Interest Rate Model, joint with Ingo Beyna. Also available as Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. September 2010.
  15. A Guide to FX Options Quoting Conventions by Uwe Wystup and Dimitri Reiswich,The Journal of Derivatives, Winter 2010, Vol. 18, No. 2: pp. 58-68.
  16. Vol Conundrum Solved?, Derivatives Week, vol XIX No. 16, p. 16, 26 April 2010, Uwe Wystup comments on Murex’ Tremor model.
  17. 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.
  18. Foreign Exchange Options – A Trader’s View (pdf), joint with Markus Cekan and Armin Wendel, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.727-731.
  19. Pricing Formulae for Foreign Exchange Options (pdf), joint with Andreas Weber, Contribution to Encyclopedia of Quantitative Finance , John Wiley & Sons Ltd. Chichester, UK. 2010. pp.1408-1418.
  20. Foreign Exchange Basket Options (pdf), joint with Jürgen Hakala, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.717-721.
  21. Vanna-Volga Pricing (pdf), Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp. 1867-1874.
  22. Foreign Exchange Symmetries (pdf), Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.752-759.
  23. Quanto Options (pdf), Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp. 1455-1460.
  24. Foreign Exchange Smile Interpolation (pdf), Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.742-745.
  25. 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.
  26. Vol Conundrum Solved?, Derivatives Week, vol XIX No. 16, p. 16, 26 April 2010, Uwe Wystup comments on Murex’ Tremor model.
  27. Unifying Exotic Option Closed Formulas (pdf), 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.
  28. FX Volatility Smile Construction (pdf), 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.
  29. 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), joint with Christoph Becker, Annals of Finance, Volume 5, Issue 2 (2009), pp. 161-174
  30. 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.
  31. 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.
  32. 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.
  33. Instalment Options: A Closed-Form Solution and the Limiting Case (print version, screen version, slides), 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
Interviews & Articles (German press)

The following articles are only available in German:

  1. Strukturierte Produkte im Wandel: Entwicklungen nach der Finanzkrise, Zeitschrift für das gesamte Kreditwesen, 01.11.2017, Seite 1090.
  2. Der Markt wurde transparenter, BörsenZeitung, 03./04.10.2017, Seite 14, Interview mit Uwe Wystup durch Stefan Schaaf
  3. Der Faktor Unsicherheit, FINANCE, 15.07.2017, Seite 34, Artikel von Desirée Backhaus und Sabine Reifenberger
  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 15.08.2016.
  9. Wesentlich erfahrener, dpn News, April/Mai 2016, Artikel von Ina Lockhart
  10. Absolute Return Rountable: Investoren richten ihren Rendite-Kompass neu aus, dpn News, April/Mai 2016
  11. Institutionelle brauchen ein Fixing, BörsenZeitung, 06.04.2016, Artikel von Stefan Schaaf
  12. Quant Finance: Governance der mathematischen Modelle ist entscheidend, Institutional Money, 25.03.2016
  13. Wir helfen unseren Kunden beim Überleben, BörsenZeitung, 24.03.2016, Seite 13, Interview mit Uwe Wystup durch Stefan Schaaf
  14. Optionen gegen die Volatilität, BörsenZeitung, 24.03.2016, Seite 13, Artikel von Stefan Schaaf
  15. Liquidität bereitet Akteuren Sorgen, Börsenzeitung, 24.03.2016, Artikel von sts
  16. Risiko begrenzen, Chancen nutzen. Der Neue Kämmerer, 01.03.2016.
  17. Brexit-Risiko erfordert Absicherung von Pfund-Einnahmen. BörsenZeitung, 01.03.2016
  18. Indexfonds sind längst nicht so sicher wie versprochen, Frankfurter Allgemeine Sonntagszeitung, 5. September 2010, Seite 47, Artikel von Christian Siedenbiedel.
  19. Über Gebührenstruktur genau informieren, Fundresearch, 12. Januar 2010, Interview mit Uwe Wystup
  20. Die Wahrheit über Riester, Frankfurter Rundschau, Nr. 1 / Seite 15-17, 2. Januar 2010, Artikel von Bernd Salzmann.
  21. Testlauf für den Ruhestand. Exklusiv ermittelt: Die besten Riester- und Rürup-Produkte, Euro, Dezember 2009, Artikel von Ralf Ferken.
  22. Riesterrente im Vergleich – eine Simulationsstudie zur Verteilung der Rendite im Auftrag von Euro-Magazin, mit Nils Detering und Andreas Weber, MathFinance AG. November 2009.
  23. Riestern lohnt sich nur selten, Frankfurt Allgemeine Sonntagszeitung, Nr. 48 / Seite 45, 29. November 2009, Artikel von Nadine Oberhuber.
  24. Riesterfonds auf dem Prüfstand, Euro-Vorankündigung, 27. Oktober 2009.
  25. Geldanlage & Börse Garantiefonds: Bestseller fressen Rendite, Pressemitteilung, The Associated Press, 25. Oktober 2009.
  26. Was versteht man unter einem CPPI-Modell? Das Investment, 15. September 2009, Leser fragen – Experten antworten.
  27. Garantiefonds – sicherer Hafen oder Rendite-Hemmschuh?, 24. März 2009, Artikel von Toralf Richter Online-Redaktion der Aspect Online AG
  28. Garantiert Kompliziert, DIE ZEIT, 25. September 2008, Artikel von Jürgen Drommert.
  29. Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen (pdf, slides in German, slides in English), joint with Andreas Weber, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. August 2008.
  30. Gebühren fressen die staatlichen Zulagen auf, Die Welt, 18. August 2008. Artikel von Barbara Brandstetter.
  31. Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen (pdf, slides in German, slides in English), joint with Andreas Weber, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. August 2008.
  32. Die Riester-Räuber, Süddeutsche Zeitung, S. 23, 23. Juli 2008. Artikel von Markus Zydra.
  33. Wetten auf Sommerlöcher, Süddeutsche Zeitung, Nr. 129, Derivate & Zertifikate, S. 38, 5. Juni 2008. Interview von Andrea Hessler.
  34. Arbeite nie für die Banken, GoldSeiten.de, 13. April 2008. Artikel von Manfred Gburek.
  35. Nehmen Sie Ihre Finanzen endlich selbst in die Hand, GoldSeiten.de, 16. März 2008. Artikel von Manfred Gburek.
  36. Sicherheitsprodukte: Enttäuschung garantiert, Wirtschaftsblatt, 8. März 2008. Artikel von Hans-Jörg Bruckberger und Christian Kreuzer.
  37. Bremse getreten, Wirtschaftswoche, 3. März 2008, page 122. Article written by Heike Schwerdtfeger.
  38. Angst wird zum Renditefresser, Financial Times Deutschland, 1. Februar 2008, page 26. Article written by Andreas Preissner.
  39. Was kostet die Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen (pdf, slides in German, slides in English), joint with Christoph Becker, Research Report No 8, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. January 2008.
  40. 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
  41. Garantien kosten Rendite, Börse Online, 15. November 2007. Article written by Tobias Kaiser.
  42. Garantiert teuer, Handelsblatt, 26. Oktober 2007. Article written by Frank Wiebke.
  43. Garantien: Langfristig zu teuer erkaufte Sicherheit , Pressemitteilung von Franklin Templeton, 25. Oktober 2007.
  44. Garantiert überflüssig, Portfolio International, September 2007, p.30. Article written by Cora Gutierrez based on an interview with Uwe Wystup.
  45. Anlegerschützer beklagen Wildwuchs bei Zertifikaten, Handelsblatt, 6. Februar 2007, p.33. Article written by Ralf Drescher.
  46. Es war einmal ein fairer Preis, DIE ZEIT, Nr 6, 1. Februar 2007, p.33. Article written by Claas Pieper.
  47. Die Weltformel des Kapitalismus, DIE ZEIT, Nr 22, 24. June 2006, p.39. Article written by Robert von Heusinger, joint with Uwe Wystup. The corresponding Excel Sheet is here
  48. Nichts für Einzelkämpfer – über Investmentbanker und was sie heute wissen müssen, Staufenbiel Finanzwelt und Beratung, 2005, p.12.
Media Archive 2004 - 1998

  1. 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)

  2. Efficient Computation of Option Price Sensitivities for Options of American Style (pdf), joint with Christian Wallner, Wilmott. November 2004, pp. 72-81.
  3. The market price of one-touch options in foreign exchange markets (pdf), Derivatives Week Vol. XII, no. 13, p. 8-9, London 2003.
  4. Valuation of options in Heston’s stochastic volatility model using finite element methods, joint with Thomas Apel and Gunter Winkler (pdf), Foreign Exchange Risk, Risk Publications, London 2002.
  5. How the Greeks would have hedged correlation risk of foreign exchange options (pdf), Wilmott Research ReportAugust 2001. Also in Foreign Exchange Risk, Risk Publications, London 2002.
  6. Dealing with dangerous digitals, joint with Steven E. Shreve and Uwe Schmock (pdf), Foreign Exchange Risk, Risk Publications, London 2002.
  7. Efficient computation of option price sensitivities using homogeneity and other tricks, joint with Oliver Reiss (pdf), The Journal of Derivatives Vol. 9 No. 2, Winter 2001, also in Foreign Exchange Risk, Risk Publications, London 2002.
  8. Monte Carlo simulations and variance reduction techniques, joint with Jürgen Hakala, Bereshad Nonas and Tino Senge, Foreign Exchange Risk, Risk Publications, London 2002.
  9. 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.
  10. Vanilla options, Foreign Exchange Risk, Risk Publications, London 2002.
  11. Volatility management, Foreign Exchange Risk, Risk Publications, London 2002.
  12. The pricing of first-generation exotics, joint with Jürgen Hakala and Ghislain Perissé, Foreign Exchange Risk, Risk Publications, London 2002.
  13. Binomial trees in one and two dimensions, joint with Ingo Schneider, Foreign Exchange Risk, Risk Publications, London 2002.
  14. 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.
  15. Heston’s stochastic volatility model applied to foreign exchange options, joint with Jürgen Hakala, Foreign Exchange Risk, Risk Publications, London 2002.
  16. 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.
  17. Valuation of exotic options under short selling constraints, joint with Steven E. Shreve and Uwe Schmock (pdf), Finance and Stochastics VI, 2 (2002)
  18. Making the most out of Multiple Currency Exposure: Protection with Basket Options, joint with Jürgen Hakala (pdf). The Euromoney Foreign Exchange and Treasury Management Handbook 2002. Adrian Hornbrook.
  19. Foreign Exchange Derivatives, joint with Jürgen Hakala (pdf). The Euromoney Foreign Exchange and Treasury Management Handbook 2001. Adrian Hornbrook.
  20. Valuation of exotic options under short selling constraints as a singular stochastic control problem (pdf), PhD Thesis, Carnegie Mellon University, 1998.

Talks 2023 -2003

  1. The Short Lira Put Option Investment Wealth or Trap of Price Spikes Causing Disastrous Losses, Annual Quant Insights Conference (CQF), 2 November 2023
  2. Keynote: The Short Lira Put Option Investment Wealth or Trap of Price Spikes Causing Disastrous Losses, 5th GCC FMT Conference, Istanbul, 14-16 September 2023
  3. Uncle Herbert’s Savings Plan with a Bonus and the Legal Aftermath, keynote, Frankfurt MathFinance Conference, 21-22 March 2023
  4. Why to Stay Local and Why to Mix? – Current Industry Models for FX Derivatives, Invited Talk, Workshop on New Challenges in Quantitative Finance, Centre de Recerca Matemàtica, Autonomous University Barcelona, 14 July 2021
  5. Mixed Local Volatility Models for FX Derivatives, Invited Talk at Quant Insights Conference, Asia/Europe, 27 May 2021
  6. MLV: As simple a Stochastic Local Vol model as it gets. Invited Talk at QWAFAxNEW (The quant society formerly known as New York QWAFAFEW), 24 February 2021
  7. Panelist on “Post Modern Volatility: When Abstraction Becomes Reality”, Quant Insights Conference, 13  November 2020
  8. State-of-the-Art Modeling of FX Derivatives, keynote, 1st Asian MathFinance Conference, Singapore, 18 October 2019
  9. FX Volatility 101 Exam, keynote, Frankfurt MathFinance Conference, 17 April 2018.
  10. The Checklist for the FX Volatility Smile Surface, invited talk at Risk Management Institute, National University of Singapore, 17 Nov 2017.
  11. Exit Strategies for a sick Floan (handout in pdf, slides in pdf), Invited Talk at TU Darmstadt, 07 June 2017
  12. Turagapadabandha, Key note at the 17th Frankfurt MathFinance Conference, 22 April 2017.
  13. Foreign Exchange Risk Management for Indian Corporates, Invited Talk at Great Lakes Institute of Management, Chennai, 7 February 2017.
  14. Floans, Flaws and Flops, Key note at 16th Frankfurt MathFinance Conference, 21 March 2017
  15. 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.
  16. Foreign Exchange Risk for Indian Importers and Exporters. Invited talk at Indo-German Chamber of Commerce, Kolkata, India, 28 July 2015.
  17. Product and Model Trends in FX Options, Stochastics & Computational Finance 2015 conference, University of Lisbon – ISEG & CEMAPRE, 9 July 2015.
  18. 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.
  19. FX Derivatives: Model and Product Trends. Lorentz workshop on Models and Numerics in Financial Mathematics, Leiden, 27 May 2015.
  20. Volatility as Investment – Crash Protection with Calendar Spreads of Variance Swaps. Key note at Actuarial and Financial Mathematics Conference, 5-6 February 2015.
  21. Derivatives Litigation – A Tour through a Series of Scandals. Key note at 14th Frankfurt MathFinance Conference, 14-15 April 2014.
  22. Embedded Currency Exchange Options in Roll-over Loans. 8th World Congress of the Bachelier Finance Society, Brussels 2-6 June 2014
  23. FX Options model and product trends. Key note at 13th Frankfurt MathFinance Conference, 18-19 March 2013.
  24. FX Options model trends. Invited talk at the first Asian Quantitative Finance Conference, National University of Singapore, Jan 9-11 2013.
  25. 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
  26. Comparison of fee structures and investment concepts for the German Riester-Rente. Risk Europe, Frankfurt, Germany, June 3-5 2009
  27. FX Volatility Smile Construction. Risk Event on modeling and hedging FX Options, London, April 29 2009
  28. FX Basket options valuation with smile. Third Conference on Numerical Methods in Finance, Paris, April 15-17 2009
  29. Efficient Evaluation and Hedging of FX Basket Options with Smile. Cass Business School, London, April 8 2009
  30. On the Cost of Poor Volatility Modeling – The Case of Cliquets. SIAM Conference on Financial Mathematics & Engineering, New Brunswick, New Jersey, November 22 2008
  31. Pricing of First Generation Exotics with the Vanna-Volga Method: Pros and Cons. Probability and Mathematical Finance Seminar, Carnegie Mellon University, November 10 2008
  32. 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
  33. On the Cost of Poor Volatility Modeling – The Case of Cliquets. Probability and Mathematical Finance Seminar, Carnegie Mellon University, April 21 2008
  34. 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
  35. 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
  36. Was kostet der Vollkaskoschutz den deutschen Anleger – Vortrag auf der Morningstar Investment Konferenz Wiesbaden, November 7, 2007
  37. On the Price of a Guaranty – Invited Talk at the Mid-Term Conference on Advanced Mathematical Methods for Finance, September 17-22, 2007
  38. On the Price of a Guaranty – Derivatives: A Need 4U2, Amsterdam, June 7 2007
  39. 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
  40. Stochastische Volatilität vs. Traders’ Rule of Thumb – Bewertung exotischer Optionen im Vergleich, University of Trier, July 21 2005
  41. 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
  42. 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
  43. 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
  44. Stochastische Volatilität – Motivation und Anwendung auf die Bewertung exotischer Optionen Antrittsvorlesung, Hochschule für Bankwirtschaft, Frankfurt, Jan 14 2004
  45. 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
  46. Wie verdienen die Banken Ihr Geld European Banking and Insurance Fair, Frankfurt, Oct 28 2003
  47. 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
  48. Oxford University, England, June 25 2003, Hedging correlation risk in foreign exchange options markets
  49. Goethe University, Frankfurt (Germany), May 9 2003, How the Greeks would have hedged correlation risk in foreign exchange options markets
  50. 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
  51. 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
Talks Archive 2002 - 1995
  1. Second World Congress of the Bachelier Finance Society, Agia Pelagia (Crete), June 12-15 2002, Stochastic volatility models applied to foreign exchange options
  2. Frankfurt MathFinance Workshop, April 3-5 2002, Structured products and how banks are making money
  3. Columbia University, New York, March 1 2002, Stochastic volatility models applied to foreign exchange options
  4. 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
  5. Joint Colloquium of the Universities of Giessen and Marburg, Germany, Feb 5 2002, Stochastic volatility models applied to foreign exchange options
  6. Financial Engineering Lab, University of Twente, The Netherlands, Jan 18 2002, Stochastic volatility models applied to foreign exchange options
  7. Hochschule für Bankwirtschaft (Frankfurt), Dec 15, 19 and 20 2001, Mathematik für Finanzderivate, joint with Heinz Cremers, Martin Hellmich, Xuyen Truong and Wolfgang Schmidt
  8. Center of Finance and Risk Management, University of Mainz, Germany, Dec 5 2001, Heston’s stochastic volatility model applied to foreign exchange options
  9. Hochschule für Bankwirtschaft (Frankfurt), Oct 26 2001, Neue Quantitative Methoden im Bereich Devisenoptionen
  10. Hochschule für Bankwirtschaft (Frankfurt), Oct 5 2001, Introduction to Monte Carlo Simulation and its application to pricing derivatives
  11. The Financial Options Research Centre, University of Warwick, UK, Sept 10-11 2001, Heston’s stochastic volatility model applied to foreign exchange options
  12. Frankfurt MathFinance Colloquium at Goethe University, Workshop on Stochastic Volatility, May 18 2001, Heston’s stochastic volatility model applied to foreign exchange options
  13. 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
  14. Hochschule für Bankwirtschaft (Frankfurt), Dec 2000, How the Greeks would have hedged correlation risk of foreign exchange options
  15. RISK training course on interest rate modelling, London, May 24-25 2001, Long Term FX Options: Model and Calibration
  16. 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
  17. Konstanz University, workshop on mathematical finance, Oct 5-7 2000, Efficient computation of option price sensitivities using homogeneity and other tricks
  18. National Institute of Management (Calcutta), July 11 2000, Introduction to mathematical finance
  19. 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
  20. Technical University (Vienna), Adaptive Friday, March 14 2000, Computational aspects of option valuation in practice of daily trading
  21. International University (Bruchsal), Colloquium, March 13 2000, Financial markets: quantitative aspects
  22. 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
  23. Technical University (Munich), Nov 12 1999, Dealing with dangerous digitals
  24. 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
  25. Allahabad Bank (Calcutta), July 1999, What is mathematical finance?
  26. Carnegie-Mellon-University (Pittsburgh), Computational Finance Research Seminar, Feb 2 1999, How the Greeks would have hedged correlation risk of foreign exchange options
  27. Gutenberg-University (Mainz), Dec 1998, Dealing with dangerous digitals
  28. Humboldt-University (Berlin), Workshop on Mathematical Finance, Dec 4-6, 1998, Dealing with dangerous digitals
  29. Goethe-University (Frankfurt), May 1998, Valuation of exotic options under short selling constraints as a singular stochastic control problem
  30. Indian Institute of Technology (Kharagpur), August 1995, Option pricing with binomial trees

 

 

 

×
Amount to Pay0,00 €

This method does not allow payments greater than 500 per day.

You must scan the QR code, click continue to attach the screenshot (it is the only proof of payment) and you will be able to complete the purchase.

Please Upload Your Receipt
WordPress Cookie Notice by Real Cookie Banner