MathFinance implements a new way of calibrating market-implied yield curves based on optimization technique in java at a German bank.

In a longer term assignment we combined out mathematical research and practical experience and

1. developed a new (alternative) way of calibrating market-implied yield curves based on optimization technique
2. calibrated the internal funding curve
3. built a consistent multi-currency framework
4. extended and stabilized the yield sensitivity computations: using a new approach for computing risk parameters with respect to market swap quotes we produced smooth curves, local delta, and accurate delta

More information on what we can offer is available upon request.

Professor Wystup now lectures at the University of Antwerp

Professor Wystup contributes two lectures on Topics in Financial Engineering to the FWO WOG research network StochModFin, see link. His lectures will be on Monte Carlo methods (10-11 Feb 2014) and on FX Derivatives (17-18 Mar 2014).

MathFinance delivers two seminars for industry professionals organized by ACI Israel. We organized a 3-day seminar on Interest Rate markets and derivatives and another 3-day seminar on Foreign Exchange derivatives, explained the most recent developments and products. Zahi Elias of Bank Leumi Israel, the President of ACI Israel, had organized the seminars with MathFinance.

Uwe Wystup appointed as professor of financial option pricing at the University of Antwerpen.

From 1 Oct 2013 Prof Wystup has accepted a part-time appointment at the Department of Mathematics at the University of Antwerpen, where he will conduct research and teach selected topics in numerical methods in finance, mainly related to derivatives valuation and hedging. This new link between MathFinance and academia will strengthen the further use of current research in the products and services of MathFinance.

MathFinance can now offer a first version of an LSV pricing library, for which we currently appreciate requests for collaboration. It extends our current offer beyond our pricing tool F(x), where LSV has not been included.

F(x) - Our New FX Derivatives Pricing Tool

F(x), MathFinance's desktop application for pricing a range of popular foreign exchange derivative products was launched.

The F(x) pricing wizard makes it easy to create and save portfolios of vanilla options, barriers and digitals. Structured products are simplified with pre-defined templates, and market data can be set up with your own data feeds and archived for later reference.

F(x) pricing runs on MathFinance's Excel Add-In library, with fully documented pricing models comparable to those used in many banks. Volatility surfaces are checked for arbitrage and interpolated in a market-compliant way (by time/strike or time/delta). The add-in functions are also directly accessible in Excel with detailed help files.

Details

F(x) - Our New FX Derivatives Pricing Tool

In August we will be launching F(x), a derivatives pricing tool covering a broad range of FX options and structured forwards, including Vanilla, single/double Barriers and Touches as well as a range of Forward Structures. It does not require an internet connection and allows the user to provide their own market data.

European Actuarial Journal (June 2013) publishes new paper on

Return distributions of equity-linked retirement plans under jump and interest rate risk
By Nils Detering, Andreas Weber and Uwe Wystup

Abstract

We consider a savings plan, where the paid capital is guaranteed at time of retirement, in the German market available as Riester-Rente and supported by federal cash payments and tax benefits. We generalize several capital guarantee mechanisms to payment plans and compare their distribution: the return distribution of a classical insurance strategy with investments in the actuarial reserve fund, a CPPI strategy, and a Stop loss strategy, in optimistic, standard and pessimistic market scenarios. To model the distribution we use a jump diffusion process parameterized to resemble the MSCI World index for the stock investment and a Hull-White Extended Vasicek process, calibrated to the euro zero-bond curve, for the risk free investment. We also analyze how fee structures and gap risk affect the performance of these savings plans. Additionally, we present a very simple parameter estimation method for this kind of simulation studies.

The full text is available here!

See our online calculator for a simulation of such long-term investment plans.

Prof Wystup’s interview on the impact of low interest rates on the life insurance industry (in German).

Sorge trotz Vorsorge Sendung vom Freitag, 31.5. | 19.05 Uhr | SWR2

Warum der Leitzins die privaten Lebensversicherungen unter Druck setzt.
Von Mirjam Meinhardt

Die Zinsen sind im Keller. Wer jetzt einen Kredit aufnimmt, kann sich vielleicht freuen. Wer aber spart und versucht fürs Alter vorzusorgen, macht ein langes Gesicht. Beim Blick auf den Bescheid der privaten Renten- und Lebensversicherungen kann einem angst und bange werden. Denn die private Absicherung, die die Versorgungslücke schließen sollte, reicht hinten und vorne nicht mehr. Droht im Alter jetzt Sorge trotz Vorsorge? Und welche Alternativen gibt es? Warum des Deutschen liebstes Vorsorgeprodukt weit hinter den Erwartungen zurückbleibt. Gesprächspartner ist Prof. Uwe Wystup. Der Finanzmathematiker ist Honorarprofessor an der Frankfurt School of Finance und Vorstand der MathFinance AG.

Details und mp3.

MathFinance has started a business relationship with Volmaster FX

Stochastic-local volatility models have been one of our primary activities over the last years. It became clear that the market consensus modeling approach for first generation exotic options would be SLV middle of the last decade, so many years ago. So what's the problem? There are thousands of talented quants out there in the industry, so why doesn't everybody have an SLV model? First of all, even within the class of SLV models many choices have to be made and their performance has to be tested. Do we want a Heston model for the stochastic volatility part or rather another diffusion? Should we model the local volatility function parametric or non-parametric? Each choice triggers a complex calibration problem. Few SLV models admit a closed-form solution for vanilla options: Murex came up with a proprietary closed form approximation for a Heston model with a parabolic parametrization of the local volatility. This helped speeding up the calibration and they were first to offer a workable SLV model within their risk management system. We performed an intensive validation of what Murex calls the Tremor model in 2010 and 2011. Since calibration is time consuming, the market did in fact have to wait for the hardware to be ready to cope with the requirements of speed. And having a prototype of an SLV model ready is only a first step; its integration into a front office tool or a risk management system is yet another exercise.

Currently, the situation is that the top tier banks will have their in-house SLV model(s). Some others have a prototype and might be close to putting it in production, but the majority are still aiming to build one or are looking for other access methods. Smaller banks and the buy-side have very limited access to such state-of-the-art models. I will give an overview on the models next week in London, see below.

The market consensus price for a double-no-touch can be seen in the graph that shows TV (theoretical value) on the x-axis and the difference to TV in various models on the y-axis. It clearly points out that neither a pure stochastic volatility model (such as Heston) nor a pure local volatility model generate prices inside the bid-offer spread of the double-no-touch.

There are very limited solutions in the market, but we found Volmaster a while ago and had a closer look. MathFinance has always been very passionate about FX derivatives and we are now pleased to announce that we started a business relationship with Volmaster FX.

Uwe Wystup, Managing Director, MathFinance AG, says:
"This new on-line pricing tool for FX derivatives, with its cutting-edge technology and its native pricing on advanced models (stochastic-local volatility, jumps) represents a new generation of financial software. Fast, precise, transparent, easy to integrate into existing infrastructures, expandable and future-proof. We are very pleased to have Volmaster as our new business partner and to be a part of this new and exciting tool."

Stefano Silvano, Volmaster CEO, comments:
"We are delighted to cooperate with MathFinance. We believe that MathFinance, as a leading financial boutique, can significantly contribute to new exciting developments of our acclaimed Volmaster FX pricing tool. Since Volmaster FX has been conceived and developed following a scientific approach, we are particularly excited about the depth of academically-backed know-how and skillsets MathFinance can offer."

Contact us for a presentation and see your next-generation pricing tool in action!

Professor Uwe Wystup will talk about

Overview of Product and Model Trends in FX Options

In Foreign Exchange Options markets first generation exotics like barrier and touch options have become vanilla-like commoditized derivatives traded in a liquid market. We review some of the traditional vanna-volga models frequently used by practitioners and software vendors, demonstrate their pros and cons, determine consistency and design requirements as well as limitations.

We show how recent trends try to overcome the inconsistencies with stochastic-local volatility hybrid models (SLV). We provide an overview of such models used in the market and show by case studies how they relate to vanna-volga based approaches.

And by the way, are target forward structures still allowed?

London, at Dockmaster's House
Wednesday, 26 June 2013, 7:30pm

This is part of the seminar series by Thalesians.

We are pleased to announce that Prof. Uwe Wystup will be holding a 3-day short course, Foreign Exchange Options Markets 2013 on 23 - 25 May 2013 in Singapore. Online registration for the course is now open.

Foreign Exchange Options Markets 2013, 23-25 May 2013  

About the instructor: Prof.Uwe Wystup is managing director of www.mathfinance.com, a global network of quants specializing in modeling and implementing Foreign Exchange Exotics. He has been working as Financial Engineer, Structurer and Consultant in FX Options Trading Teams of Citibank, UBS, Sal. Oppenheim and Commerzbank since 1992 and became an internationally known FX Options expert in both Academia and Practice. Uwe holds a PhD in mathematical finance from Carnegie Mellon University, serves as an honorary professor of Quantitative Finance at Frankfurt School of Finance & Management and as associate fellow at Warwick Business School.

His first book Foreign Exchange Risk co-edited with Jürgen Hakala published in 2002, has become a market standard. His new book on FX Options and Structured Products appeared in 2006 as part of the Wiley Finance Series. He has also published articles in Finance and Stochastics, the Journal of Derivatives, Review of Derivatives Research, Quantitative Finance, the Annals of Finance, Wilmott Magazine, Derivatives Week.

• Registration fee S$1,050.00 for any 1 day;  S$3,000.00 for full 3-day course
• Last day of Registration - 12 May 2013

Kindly visit the Centre of Quantitative Finance webpage for more information and to register for the course. We sincerely hope that you will be able to join us and we look forward to seeing you there.

For the 13th time, MathFinance produced its annual conference in Frankfurt. Two days of intensive deep dive into modeling attracted 130 delegates from all over the world. Some of the main topics included CVA modeling, recent advances in stochastic-local volatility for FX and equity markets, an overview on energy derivatives modeling, a panel discussion on systemic risk and one on derivatives business models.

Jesper Andreasen presented his recent work on “What’s my delta” stating that the hedge quantity of a derivatives position is uniquely determined. His work was very much in line with Hans Buehler’s presentation on statistical hedging.

Adil Reghai’s talk on Quantum Local Volatility raised a lot of attention. He explained how to use Brownian Bridges in the presence of stationary local volatility. And guess what: Lie-brackets are back! The slides are worth revisiting when a new local volatility model is to be built leaving alone the sheer number of useful references.

We also appreciated a spontaneous contribution by Sylvain Corlay on B-splines techniques for Markov Projection and Hybrid Models and Juergen Hakala’s relaxed insights on correlation.

So given a common market perception that derivatives are allegedly out of fashion, it appears that there is more work to do than ever, partially triggered by regulation requirements, an increased need for transparency, and the performance pressure for a high volume flow business.

I would like to thank everybody for making this a conference worth attending, mostly our speakers, our key sponsor Murex and all the other sponsors.

I look forward to seeing you again next year on May 12-13 2014 for the next Frankfurt MathFinance Conference. Stay tuned.

Uwe Wystup
Managing Director of MathFinance

New Paper

The paper on "Return distributions of equity-linked retirement plans under jump and interest rate risk" by Nils Detering, Andreas Weber and Uwe Wystup has been accepted for publication in the European Actuarial Journal.

MathFinance Conference 2013

The MathFinance Conference is the largest quantitative finance event covering the European market. Its unique take on the blending of industry and academia has allowed it to firmly establish itself as one of the top quant events of the year. Renowned speakers from all over the world deliver their talks as part of this two-day event, held in Frankfurt on the 18^thand 19^th of March 2013.

For over 12 years, the conference has been an influential driver in the dissemination of ideas, information and knowledge. Talks are presented by experts in their field, including distinguished Senior Quantitative Analysts, Traders, Risk Managers and only the top Academics. This ensures that all major developments and issues of this ever evolving marketplace are covered in depth.

Visit Page

Poster Session

We are now accepting submissions for the Poster Session.
The winner will be announced at the Conference, at the end of the first day, after a careful examination of all exhibited posters (poster size should be A1: 841 x 594 mm /33.1 x 23.4 in).

Please note that the poster session and competition is freely available to all conference participants! Your creativity combined with financial mathematics pays off! The winner will receive the Fintegral Prize!

Submission deadline is 31^st January 2013. Please submit your ideas as a pdf document here

Murex Panel

Professor Wystup was invited as a panelist on the Murex Symposium in Bejing on Nov 2 2012. The discussion on innovation and analytics in Risk Management attracted more than hundred delegates from the Chinese Financial Industry.

London City Book Fair

FX Options modeling trends presented at the London City Book Fair on Nov 14 2012. Professor Wystup explained the current state of where FX derivatives are in their modeling effort. Besides trendy stochastic local volatility models various versions of vanna-volga approaches are still popular. There are at least 538 versions, and the biggest challenge is picking the best of these.
Details on the book fair.

MathFinance has become associated partner of the Marie Curie International Training Network on Novel Methods in Computational Finance which will run in the years 2013-2016.

In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed a tremendous growth. Advanced numerical techniques are imperative for the most present-day applications in financial industry.

The motivation for this training network is the need for a network of highly educated European scientists in the field of financial mathematics and computational science, so as to exchange and discuss current insights and ideas, and to lay groundwork for future collaborations.

Besides a series of internationally recognized researchers from academics, leading quantitative analysts from the financial industry also participate in this network. The challenge lies in the necessity of combining transferable techniques and skills such as mathematical analysis, sophisticated numerical methods and stochastic simulation methods with deep qualitative and quantitative understanding of mathematical models arising from financial markets.

The main training objective is to prepare, at the highest possible level, young researchers with a broad scope of scientific knowledge and to teach transferable skills, like social awareness which is very important in view of the recent financial crises.

The current topic in this network is that the financial crisis in the European countries is a contagion and herding effect and is clearly outside of the domain of validity of Black-Scholes and Merton’s theory, since the market is not Gaussian and it is not frictionless and complete.

In this research training network our aim is to deeper understand complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This aim will be accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models.

Paper on FX Smile Construction by Dimitri Reiswich and Uwe Wystup published in Wilmott

Abstract

The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied volatility smile. The smile construction procedure and the volatility quoting mechanisms are FX specific and differ significantly from other markets. We give a brief overview of these quoting mechanisms and provide a comprehensive introduction to the resulting smile construction problem. Furthermore, we provide a new formula which can be used for an efficient and robust FX smile construction.

Details and download

Professor Wystup's interview in Bizportal, Israel, Sept 8 2012

He explained the relevance of treasury management and the products traded as a matter of survival for export and import business in Israel. Moreover, he outlined the changes in the markets in the recent years.

Read full article!

Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuation, and MathFinance, the independent consulting firm providing financial engineering solutions with focus on derivatives, announced today that they will enter a partnership to provide clients in Germany with a service tailored to their requirements, combining derivatives pricing software, software integration as well as training and quantitative consulting services.

Read more

• "Diversification and Crash-Protection Using Variance Swap Calendar Spreads" By Qixiang Zhou, MathFinance AG; Nils Detering, Frankfurt School of Finance & Management; Uwe Wystup, MathFinance AG
  
• "Embedded Currency Exchange Options in Roll-over Loans" by Andreas Weber and Uwe Wystup, MathFinance AG.

Interest Rate Modelling - The Basics

Dr. Jörg Kienitz will hold a two days seminar in Frankfurt, between the 15th and 16th November 2012.

The goal is to provide a detailed overview of the current Fixed Income markets, including before and after the credit crunch and show how the methodology has changed.

Different topics will be covered, such as yield curve construction for pricing and risk management, fundamental mathematical concepts, from Vanilla derivatives to more complex products pricing in theory and in practice, single currency and multi currency environments, modelling the term structure of interest rates, calibration or exotic interest rate options.

To read more about the individual topics please visit the seminar page.

Register before 1st August 2012 and benefit from a 15% discount! If you miss this period we are also offering a 10% discount from August until 15th September 2012 and as always the Groups (3 or more participants from the same company) will benefit also from a 10% discount.

• Should we model spreads as being stochastic?
• Is it possible to define a model consistently integrating the spot/vol dynamic for all asset classes?
• What are the good technology choices today to reach the right balance between accuracy and performance?

Professor Wystup participates in the annual Asset Management Advisory Committee meeting of Germany's federal Foundation "Remembrance, Responsibility and Future". Quantitative questions of asset management is an area of recent research projects MathFinance provides.

Quantitative consulting in all asset classes
Oliver will be in charge of our consulting projects in Europe. Together with our other team member we will now be able to provide services across all asset classes.

Invitation to the Press Conference: Presentation of the survey on „Volatility as Investment“

Volatility is a risk measure and at the same time an alternative source of return. The volatility product market has becomes liquid even in times after the Lehman collapse and the Euro crisis. Moreover, investors discover the added value of volatility strategies in a portfolio context. Since combinations of volatility products are typically negatively correlated to an equity portfolio they can substantially improve the risk-return profiles.

The results of the new joint research analysis of Uwe Wystup, managing director of MathFinance and Honorary professor of Quantitative Finance at Frankfurt School of Finance & Management and Lupus alpha will be released in a press conference on

Tuesday, 24 January 2012, 10:00 - 12:00 a.m.
in the Lupus alpha office in Frankfurt‘s Westhafen,
Speicherstrasse 49 - 51, 60327 Frankfurt am Main.

Prof. Dr. Uwe Wystup will present the results of the paper on „Volatility as Investment“: How can volatility be viewed as an asset class? How can you invest in volatility? How do volatility strategies perform in different market scenarios? How do they help diversify the portfolio risk and increase the return? Afterwards, Alexander Raviol, Head of Absolute Return Strategies at Lupus alpha, will talk about his practical experience in volatility management.

After the presentations the teams of Lupus alpha and MathFinance will be available for questions and a detailed discussion.

We would be delighted to welcome journalists and media representatives at the press conference.
Please inform [email protected] by January 18 2012, if you wish to join or would like detailed information about the research.
Note that the presentations will be in German.

The conference is intended for practitioners in the areas of trading, quantitative or derivative research and risk and asset management as well as for academics studying or researching in the field of financial mathematics or finance in general. The talks during the two days of the conference cover a broad range of current topics and are presented by internationally known academics and practitioners. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community.

Some of the speakers of this year include: Prof. Jin-Chuan Duan, Dr. Alexander Langnau, Professor Dr. Ekkehard Sachs, Dr. Attilio Meucci, Prof. Dr. Cornelis Oosterlee, Professor Roger Lee, Dr. Owen Matthews, Saeed Amen, Peter Austing, Erik Vynckier and many others.

Some of this year's sponsors include: Commerzbank,  Murex, d-fine, LPA, PricingPartners, fintegral, Reuters and many others!

Registration is now open!

Course Instructor

Course Details

MathFinance (Asia) presents its Independent Model Validation Services

The FX Options market has taken a clear trend to LSV models in last few years. While top tier banks have developed their own versions of LSV, Murex is the first software vendor to provide an LSV model working on the portfolio level in their risk management system.

The MathFinance team has implemented the pricing tool for first generation exotics on its own systems and generated automated pricing verification using both Monte Carlo and a PDE based approach. For example, the graph below shows the differences between Murex and MathFinance prices for a large set of touch options in various currency pairs. A detailed validation report is available from Murex.

Singapore’s new financial district on the harbor front

Banks in Asia are looking to upgrade their models and risk management tools. MathFinance can help in all questions around modeling, validation, derivatives workflow, choosing suitable software and partners to boost up their FX Options business.

Charles Brown (MathFinance) and Clément Lebreton (Murex) discussing  tradability and distribution.

A live presentation of the validation will be presented on Nov 16 at the Global Derivatives Conference in Chicago.

Talk on Tremor

Uwe Wystup will talk about the validation of "Tremor", the Local-Stochastic Volatility model by Murex on the Global Derivatives USA Conference, 14-17 November 2011 in Chicago.
For more details, please click here.

Unifying exotic option closed formulas

Authors

Carlos Veiga · Uwe Wystup · Manuel L. Esquível

Abstract

This paper aims to unify exotic option closed formulas by generalizing a large class of existing formulas and by setting a framework that allows for further generalizations. The formula presented covers options from the plain vanilla to most, if not all, mountain range exotic options and is developed in a multi-asset, multi-currency Black-Scholes model with time dependent parameters. It particular, it focuses on payoffs that depend on the distributions of the underlyings prices at multiple but set time horizons. The general formula not only covers existing cases but also enables the combination of diverse features from different types of exotic options. It also creates implicitly a language to describe payoffs that can be used in industrial applications to decouple the functions of payoff definition from pricing functions. Examples of several exotic options are presented, benchmarking the closed formulas’ performance against Monte Carlo simulations. Results show a consistent over performance of the closed formula reducing calculation time by double digit factors.

MathFinance validates Murex’ Tremor LSV model, Risk Magazine Oct 2011

Over the past 20 years, financial modelling increased in complexity to better describe complex market behaviors and allow market-makers to stay competitive in a maturing world. This maturity led, for example, to the proper handling of volatility surfaces many years ago and, more recently, to the management of relations between spot and volatility levels, between credit and equity markets or even simply to the development of robust interpolation methods that do not break in extreme market conditions.

MathFinance implemented a Monte Carlo and PDE-finite difference version of the valuation for FX first generation exotics and confirms that Murex uses the model correctly.

Read more

New Research

Uwe Wystup presents initial research on Currency Exchange Option in Long Term Roll-Over Loans at the Thalesians, Canary Wharf, London on Wednesday Oct 12 2011 7:30pm.

Details: www.thalesians.com

We are now also registered in London!

MathFinance Conference

The 12^th Frankfurt MathFinance Conference will take place on the 26^th and 27^th March 2012.

MathFinance is associated partner in the MC-ITN Initial Training Networks (ITN) program sponsored by the European Commision.

Together with several universities including Bergische Universität Wuppertal, Vienna Technical University, Technische Universiteit Delft, University of Greenwich, University of Oxford, University of Belgrade, Universidad Politecnica de Valencia, Univerzita Komenskeho v Bratislave and several other industry partners, the project scored 80.6%.

The purpose of the program is provide funds for young researchers aiming to do a Ph.D. and provide training and networking opportunities with the financial industry.

MathFinance joins IFF Riester term sheet committee

The German Federal Ministry of Finance has decided to equip retail investors with a termsheet (Produktinformationblatt PIB) explaining the details, costs, chances and risks involved when signing up for a retirement provision plan (Riesterrente or Rüruprente). The IFF (Institut für Finanzdiensleistungen) in Hamburg has invited a committee of experts in the fields to discuss how to present return and risk figures graphically in a consumer friendly way.
The meeting on 16 August 2011 included representatives of ZEW (Center for European Economic Research), ITA (Institut für Transparenz in der Altersvorsorge), Morgen&Morgen and Mathconcepts.

The MathFinance team illustrated the benefit of simulation to provide the investor with visible information about guarantees, the distribution of the capital saved when retired depending on future developments of capital markets.
We strongly encourage the initiative of the ministry and are looking forward to see the proposal of IFF how to proceed.

Fx Options Course

Uwe Wystup's course on FX Options and Structured Products will run the first time in New York on Sept 12-14 2011.

The course is structured on a Problem/Solution approach, that will give you insight on the most asked questions:

1. How are all the exotic options related?
2. How to replicate a transatlantic barrier?
3. How to construct digitals using vanillas and its implication of pricing digitals with smile?
4. How to use a risk reversal to replicate a Regular-Knock-Out?
5. How does this help to understand forward skew risk?

These relationships are illustrated on our exotics pedigree showing an overview of the most important FX exotic options.

See pedigree

IcyFx extension

Our development team extended and improved the IcyFx Pricing Tool, by implementing direct access to the Reuters and Bloomberg RICS through the authorized corresponding APIs.

New Research Paper

The paper by Manuel L. Esquivel (Universidade Nova de Lisboa), Carlos Veiga (Barclays) and Uwe Wystup on "Unification of Closed Formulas for a Class of Exotic Options" has been accepted for publication in Review of Derivatives Research.

A first version is available as a research paper here.

MathFinance completes the validation of Murex’ Tremor model

We are proud to announce that we completed our first independent model validation report of the implementation of Murex’ hybrid stochastic-local volatility Tremor model. We checked hundreds of values and Greeks of vanilla and first generation exotic options using a Monte Carlo engine. The implementation by Murex is based on the finite difference method of the model partial differential equation. The calibration of the model parameters is done by Murex.

See slides 

A detailed report is available upon request.
We offer extended independent validation services, please contact us.

MathFinance contributes to new Springer book!

MathFinance contributes to new Springer book “Statistical Tools for Finance and Insurance, Second Edition” Edited by Pavel Cizek, Wolfgang Karl Härdle and Rafal Weron.

The two sections of this new volume we contributed are about FX smile in the Heston model (Agnieszka Janek, Tino Kluge, Rafał Weron, and Uwe Wystup)and Return distributions of equity-linked retirement plans (Nils Detering, Andreas Weber, and Uwe Wystup)

See page
Appeared in June 2011.

MathFinance Research on Long-term investment plans with different guarantee models has been presented on The 2nd BRBZ Conference in Cologne:

Abstract

We consider a savings plan, where the paid capital is guaranteed at time of retirement, in the Ger- many market available as Riester-Rente and supported by federal bonus payments and tax benefits. In our work we compare different capital guarantee mechanisms: the return distribution of a classical insurance strategy with investments in the actuarial reserve fund, a CPPI strategies, and a stop loss strategy, in optimistic, standard and pessimistic market scenarios. To model the distribution we use a jump diffusion model parameterized to resemble the MSCI World index. We also analyze how fee structures and gap risk affects the performance of these savings plans.

BRBZ-Rechtsberatungskongress zur betrieblichen Altersversorgung 2011 See site 

See slides in German 

See two-page summary in German

New Research

IIM Shillong & MathFinance on a collaborative course of action

Convocation 2011 of the Indian Institute of Management Shillong witnessed an increase in its repertoire of medallions generally bestowed upon outstanding students of each passing out batch. This year, the Annual MathFinance AG Medallion for the Best Quantitative Finance Student was instituted for the first time in the history of the Institute’s progress as a Centre of Excellence, thanks to the collaborative effort between Prof AK Dutta, founding Director of the seventh IIM in India and Prof Uwe Wystup founder and Managing Director of MathFinance and also a Professor at the Frankfurt School of Finance & Business and Carnegie Mellon University who had donated his personal proceedings from the program titled Foreign Exchange Options “Pricing, Hedging and Applying Exotics and Structured Products” initiated by IIM Shillong, which was held at Mumbai in the month of October, last. An endowment account out of the proceedings was opened by IIM Shillong out of which Hitesh Gulati became the first ever recipient of the Annual MathFinance AG Medallion for the Best Quantitative Finance Student.

Deutsche Bank on trial

Commentary by Uwe Wystup, Managing Director of MathFinance.

This recent judgment brings up the question how financial service providers and their clients should interact in their business. To my belief, both parties have a job to do. Clearly, a bank as Deutsche in this case should do a much better job informing clients about the risks in the products they trade. If all risks are clearly stated and their potential losses or damages including worst cases are clearly demonstrated and the client wishes to engage in the product anyway, then I see no reason why a bet like this one should not take place. On the other hand clients are strongly advised to invest only in products whose chances and risks they fully understand.
Our team can help explaining the risk before the trade happens and also act as expert witness in litigation if the damage has already happened.
A recent trial at the Royal British court had been decided in our client’s favor based on our portfolio analysis.

Read article...

The Indian Institute of Management- Shillong (IIM-Shillong) is one of the leaders in the field of management education in India. On the 28th of March it organized its 2nd Convocation for the PGP Batch of 2011. The batch comprised of 66 students who were awarded certificates at the institute's second convocation.

During the ceremony, MathFinance AG awarded the gold medal to the best quant student at the convocation.

Read full article...

Awards

Germany’s federal foundation “Stiftung EVZ” has been awarded the top ranks „Best Foundation“ and „Best Portfolio Structure“ by Portfolio Institutionell!

Press Article
Awards Page 

Stiftung EVZ is working closely with MathFinance, Uwe Wystup being a part of the foundation’s Asset Management Advisory Committee since 2008.

Read more...

Our annual MathFinance Conference in the Frankfurt Fair Tower was attended by more than 150 quants worldwide. 25 speakers and 11 sponsors presented recent advances in quantitative finance.

First results on the validation of the Tremor stochastic-local volatility hybrid model are presented at the MathFinance Conference.

MathFinance launches a new web page.

- Uwe Wystup holds the first FX Options course in India. Press release (English)

- MathFinance supports BRBZ at the expert commission "Product". Press release (German)