* Prices do not contain VAT and shipping costs!
MathFinance Flow is an interactive presentation followed by a discussion to identify current challenges and develop solution strategies in a reciprocal, relaxed after-work atmosphere. The events are free of charge, but by invitation only.
Alexander Stromilo: Multi-Curve Construction: Art or Science?
Construction of Interest Rate Yield Curves is the basement for managing Interest Rate Products as well as for accurate PV calculations for the other asset classes. The curve calibration problem is relatively old and has been discussed in tons of literature. The classical text book solution is to utilize the so called Bootstrapping procedure which consists of consequent solutions of algebraic equations. Although the method is extremely fast and reasonably simple to implement, it has some major problems, e.g., non-smoothness. Optimization offers an alternative to the Bootstrapping with its own pros and cons. At the end of the day, we ask ourselves: What shall the requirements for the Perfect Yield Curve be and how do we achieve all the goals compromising neither consistency nor accuracy? The talk tries to address both questions offering a discussion platform.
Venue: Frankfurt am Main, exact address TBA
Date and Time: Thursday 17 July 2014 18:30 – 20:00 presentation and discussion
Please send an email to email@example.com to reserve a slot as space is limited. You will receive an invitation space permitting.
A Dividend Discount Model for Equity Derivatives
Oliver Brockhaus (MathFinance AG, Germany)
Wednesday June 4, 15:30-16:00 | session 5.5 | Options, Futures | room G
Within equity models discrete dividends are often assumed to be proportional to spot or deterministic. In order to better capture dividend dynamics practitioners also represent dividends as affine functions of spot, where near dividends are deterministic and far dividends are proportional, see Overhaus et al. . The resulting model has inhomogeneous spot dynamics. This paper presents a homogenous equity model with realistic dividend dynamics. Firstly, a family of equity models is introduced allowing for dynamics such as local or stochastic volatility. This family is defined as dividend discount models where all dividends are driven by a single factor. It is shown that the family includes as special cases important discrete dividend models such as deterministic, proportional and affine dividends as well as the Korn-Rogers model . Secondly, the proposed model is introduced as special case within this family. In contrast to other models the impact of the factor on a given dividend decreases with time such that, with respect to a future time, near dividends are less volatile than far dividends. Analytic approximations for Vanilla and forward starting options in a setting with deterministic volatility are given. Numerical approaches for model calibration with local and stochastic volatility are also presented. These rely on Monte Carlo simulation and fixed-point method. Finally, it is shown that the model remedies some of the shortcomings of other dividend models, in particular non-homogeneity of dividend treatment.
 M. Overhaus et al.: Equity Hybrid Derivatives. Wiley, 2007.
 R. Korn and L. C. G. Rogers: Stocks paying discrete dividends: modelling and option pricing. The Journal of Derivatives 13, 44-48, 2005.
Embedded Currency Exchange Options in Roll-over Loans
Uwe Wystup and Andreas Weber
Thursday June 5, 17:30-18:00 | session 9.9 | Hybrids | room H
In ship and aircraft financing long term roll-over loans are often equipped with the right to change the currency every quarter at spot. The loan taker then pays LIBOR of the respective currency plus a pre-determined constant sales margin. If the capital outstanding exceeds 105\% calculated in the original currency, the amortization is required to the level of 105\% of the original currency. By clever currency management the loan taker can amortize the loan faster and terminate the loan early. Essentially the loan taker owns a series of options on the cross currency basis spread with unknown notional amounts. We determine the key drivers of risk, an approach to valuation and hedging, taking into consideration the regulatory constraints of a required long term funding. We present a closed-form approximation to the pricing problem and illustrate its stability. http://www.bacheliercongress.com/2014/abstracts/all/255
Dr. Oliver Brockhaus: Counterparty Credit Risk with Wrong Way Risk
Counterparty default probability may be correlated with the exposure of a portfolio to that counterparty thus increasing risk. This effect is also known as wrong-way risk and has become an important driver for CVA computation since Basel 3 regulation.
Approaches to capture this effect range from asset based models to stochastic hazard rates. We will compare these approaches in view of efficient computation as well as appropriateness. Practical examples will be given.
Venue: Frankfurt am Main, exact address TBA
Date and Time: Thursday 8 May 2014 from 18:30 – 20:00 presentation and discussion
Please send an email to firstname.lastname@example.org to reserve a slot as space is limited. You will receive an invitation space permitting.
Prof. Uwe Wystup: Stochastic Local Volatility Models in a Trading Environment
In the recent years Stochastic Local Volatility (SLV) models have become a global market standard in top tier bank's front-office to price and risk manage exotic options and structured products in FX derivatives markets. We will outline the models available in the market and show case studies for exotics valuation compared with other models. Both price and Greeks can vary substantially with the choice of the model. We will show our in-house pricing library and present Volmaster.
Venue: CBD Singapore
Date and Time: Monday 12 May 2014 18:00 – 20:00 presentation and discussion
Please send an email to email@example.com to reserve a slot as space is limited. You will receive an invitation space permitting.
Please send an email to firstname.lastname@example.org to reserve a slot as space is limited. You will receive an invitation space permitting.
"Numerical Experiments on Hedging Cliquet Options”, by Fiodar Kilin, Morten Nalholm and Uwe Wystup, accepted for publication in Journal of Risk 2014.
At our next MathFinance Conference (14-15 April) we will learn about many current topics and problems of interest and how to attack them. Iain Clark and Jürgen Hakala will present new approaches with application to commodity and emerging markets, and particularly to regulated FX markets like EURCHF, USDHKD, USDCNY. This is beyond the commonly used Stochastic Volatility – Local Volatility mixed models ( SLV ). We will cover current state-of-the-art SLV in both theory and practice. Other talks will deal with model uncertainty and model risk , how to with the Clearing Obligation under EMIR besides many other current concerns. Jessica James will talk about Options performance. We will discuss derivatives business models in a panel discussion. Another panel will be on mainstream vs. the Austrian school of Economics, with Thorsten Polleit, chief economist at Degussa and derive our action points how to prepare for the next financial markets disaster.
Our top speakers include:
Dr. Patrick Büchel, Head of Counterparty Risk, Commerzbank
Dr. Antonio Castagna, Partner, Iason ltd
Dr. Iain Clark
Prof. Michael Dempster, Professor Emeritus, Cambridge University
Dr. Jürgen Hakala, Managing Director, Leonteq Securities
Dr. Stewart Hodges, Professor Emeritus, Cass Business School
Prof. Karel In't Hout, Associate Professor, University of Antwerpen
Prof. Jessica James, Head of FX Quants, Commerzbank
Dr. Frank Lehrbass, Head of Front Office, RWE Supply & Trading
Dr. Andreas Mainik, Manager, d-fine
Dr. Reiner Martin, Managing Director, Deutsche Asset & Wealth Management (DeAWM)
Dr. Elena Medova, Visiting Senior Fellow, Cambridge University
Dr. Andrea Odetti, Equity Quant, RBS
Dr. Natalie Packham, Assistant Professor, Frankfurt School of Finance & Management
Prof. Andrea Pascucci, Associate Professor, University of Bologna
Dr. Alexey Polishchuk, Senior Quant, Bloomberg
Alexander Raviol, Partner, Lupus Alpha Asset Management AG
Prof. Uwe Wystup, Managing Director, MathFinance AG
Download our Conference Handout.
Check out our webpage for all details!
We are currently offering our early bird price, book today to avail of this attractive offer!
In a longer term assignment we combined out mathematical research and practical experience and
More information on what we can offer is available upon request.
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.
Frankfurt: 11th - 13th November 2013
Financial industry practitioners often use the open source library QuantLib as a resource to implement pricing tools. This 3-day course covers some advanced CPP concepts and libraries used in QuantLib such as templates, design patterns and boost. An introduction to implementing an Excel AddIn will be given. Further topics include multi threading and function objects.
Course material consists of all working examples (CPP source code) presented within the course.
Intended number of participants: 5 - 10
Presented By: Andreas Weber and Dr. Oliver Brockhaus
Frankfurt: 14th - 15th November 2013
Counterparty Credit Risk is in the focus of many financial institutions. Since the Lehman default new regulation (Basel III) has changed the way we look at financial assets. The objective of this workshop is to develop a solid understanding of counterparty credit risk from both regulatory as well as methodological point of view.
Participants will learn how to quantify this risk taking into account recent developments in financial markets, regulatory environment and academic research. Presentation material (presentation slides, spreadsheets) will be made available free of charge.
The presenter has spent 15 years with leading investment banks as front office quantitative researcher focusing on credit and equity derivatives. The course should hence appeal to a technical audience with some mathematical background.
Presented By: Dr. Oliver Brockhaus
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), 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.
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
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
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.
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
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.
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.
Managing Director of MathFinance
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 18thand 19th 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.
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 31st January 2013. Please submit your ideas as a pdf document here
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
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.
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.
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.
Oliver Brockhaus has 15 years of experience as quantitative analyst in the areas of equity and credit. Positions include Head of European Equity Quantitative Analytics at Royal Bank of Scotland, Head of Equity Financial Engineering at Commerzbank, Credit Quantitative Analyst at Calyon and Hypovereinsbank as well as Equity Quant at JP Morgan and Deutsche Bank.
His interests include stochastic volatility, correlation as well as dividend models.
Oliver holds a doctorate in mathematics from the University of Bonn and a diploma (DEA) in probability from the University P et M Curie in Paris. He is co-author of "Modelling and Hedging Equity Derivatives" and "Equity Derivatives and Market Risk Models", both published by Risk Books.
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@example.com 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!
Dr. Attilio Meucci, Kepos Capital, LP &SYMMYS.com
Attilio Meucci is a pioneer in advanced risk and portfolio management. His innovations include Entropy Pooling (technique for fully flexible portfolio construction), Factors on Demand (on-the-fly factor model for optimal hedging), Effective Number of Bets (entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities (technique for on-the-fly stress-test and estimation without re-pricing), and Copula-Marginal Algorithm (algorithm to generate panic copulas). Attilio is the founder of SYMMYS, under whose umbrella he designed and teaches the six-day ARPM Bootcamp, and manages the charity One More Reason. Attilio Meucci serves as the chief risk officer at Kepos Capital LP.
Attilio is the author of Risk and Asset Allocation - Springer and numerous other publications in practitioner and academic journals. He holds a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA chartholder.
All of Attilio's fees will be distributed to a charity fund, initiated and supported by "SYMMYS". Please check here for more details and how you can help.
The course will delve in different methods of portfolio construction, diversification management and present the most important procedures in stress testing for estimating general risks and in particular liquidity risk. Also, "The Prayer", a ten-step checklist of advanced risk and portfolio management will be discussed, together with Linear Factor Models.
The course will take place on the 28th March 2012, exactly after the end of the MathFinance Conference. Therefore, for all of the conference participants that would also like to register for the course we offer a great discount of of 15% for the conference and 26% for the QTPM course!
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
Carlos Veiga · Uwe Wystup · Manuel L. Esquível
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.
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.
We are now also registered in London!
The 12th Frankfurt MathFinance Conference will take place on the 26th and 27th March 2012.
Registration will begin on the 15 th December 2011.
We are now accepting submissions for the Poster Session. The winner receives:
All posters will be exhibited at the Conference, poster size should be A1 (841 x 594 mm /33.1 x 23.4 in).
Participation in the Conference is mandatory for exhibiting the posters!
Submission deadline is 31st January 2012.
You will be notified by 15th February.
Please submit your ideas as a pdf document to
For sponsorship opportunities, please contact
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:
These relationships are illustrated on our exotics pedigree showing an overview of the most important FX exotic options.
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
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.
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)
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:
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
IIM Shillong & MathFinance on a collaborative course of action
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.
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...
Germany’s federal foundation “Stiftung EVZ” has been awarded the top ranks „Best Foundation“ and „Best Portfolio Structure“ by Portfolio Institutionell!
Stiftung EVZ is working closely with MathFinance, Uwe Wystup being a part of the foundation’s Asset Management Advisory Committee since 2008.
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)
Terms and Conditions