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The recent plunge of EUR/CHF has caused increased interest in FX markets in general and also in MathFinance. We have consequently set up a panel discussion on EUR/CHF in the next MathFinance Conference (23-24 March), where we will discuss questions like: how can one reasonably predict or model shadow exchange rates. When will central banks’ protection fail or end? How can EUR-based institutions and corporates restructure their CHF loans? Many have taken such loans in the past and are now either in litigation or need to restructure. By the way, did you know the actual meaning of the politically correct term “restructuring?” To me, it is often about how the treasurer, who is now left with a large loss, can come up with a story and an action plan that eases off his auditor’s or boss’s nervous breakdown.
We have invited Professor Rolf Poulsen from Copenhagen University to talk about his recent research in The Swiss National Bank’s Euro Guarantee. He was happy to contribute the following overview of his work:
“Between Sept. 6, 2011 and Jan. 14, 2015 the Swiss National Bank (SNB) acted in order to keep the CHFEUR exchange rate (i.e. the number of Swiss franc needed to buy 1 euro) above 1.2.
By modeling the observed exchange rate during the guarantee period as the sum of a latent (or true) exchange rate and an option premium it is possible to estimate the market’s view on the credibility of the guarantee as well as where the exchange rate would be without the guarantee.
The empirical results from a hybrid of the models in Hanke, Poulsen & Weissensteiner (2014a) and Hanke, Poulsen & Weissensteiner (2014b) are shown in the figure on the right. (These models will be presented in detail at the MathFinance Conference in March 2015.) The thin black curve is the observed CHFEUR rate over the guarantee period and the fat red curve is the estimate of where the CHFEUR rate would be without the guarantee.
‘Crunch time’ for the model was of course when the SNB withdrew the guarantee on Jan. 15, 2015, at which point the CHFEUR rate jumped down to an end-of-day level of about 1.035 as shown by the big black blot the figure. The model’s prediction was 1.07. Not spot on, but given the magnitude and subsequent repercussions of the event, we don’t feel that we have been left with too much egg on our faces. “
We look forward to seeing you at our Conference in Frankfurt.
Managing Director of MathFinance
There are currently two academic positions available at the Faculty of Sciences of the Université Libre de Bruxelles until the end of the month:
More details on all vacancies from the Université Libre de Bruxelles can be found here.
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60329 Frankfurt am Main
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Sie sind neugierig? Sie wollen verstehen, was sich hinter aktuellen Themen wie EU-Länderrisiken, Europäische Ratingagentur oder Rohstoffrisiken in der Automobilproduktion verbirgt? Dann sollten Sie d-fine näher kennen lernen. Denn mit solchen Themen und vielen weiteren spannenden und anspruchsvollen Fragestellungen beschäftigen sich unsere über 500 Berater (m/w). Und sie beantworten die an sie gestellten Fragen. Interdisziplinär mit Erkenntnissen und Methoden aus Ökonomie, Mathematik, Physik und Informatik. Unterstützt durch unser einzigartiges Fortbildungsprogramm. Es ist noch viel Platz für neue Denkansätze und unkonventionelle Ideen – bei d-fine.
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60313 Frankfurt am Main
We first present empirical investigation to validate the assumption of about the log-normal dynamics of implied and realized volatilities for stock indices. We then develop an accurate approximation of the moment generating function for mean-reverting log-normal stochastic volatility model. We apply this approximation for valuation of vanilla options and model estimation using maximum likelihood methods. For hedging under the log-normal dynamics, we introduce the concept of volatility beta and skew-beta, which serve as empirical adjustments for option delta. We show how to calibrate our model to make it consistent with any dynamics of the implied volatility under the statistical measure.
The work will be presented on the MathFinance Conference 23-24 March 2015 in Frankfurt. The papers are available at
An implementation in matlab by the author is available at here.
Presented by Dr. Uwe Wystup.
FX exotics are becoming increasingly commonplace in today's capital markets. The objective of this workshop is to develop a solid understanding of the current exotic currency derivatives used in international treasury management. This will give participants the mathematical and practical background necessary to deal with all the products on the market.
This advanced practical three-day course covers the pricing, hedging and application of FX exotics for use in trading, risk management, financial engineering and structured products. Uwe has been teaching it successfully for many years on several continents. It is not a basic course on options. Understanding the FX vanilla options market and FX smile however, is essential to understand exotics. This course is also not a pure quantitative modelling seminar. It provides the necessary mathematics you need to understand to be successful in FX Options. More specific quantitative aspects are covered in a two-day extended course. For a two-day format click here.
All delegates of the course offered by London Financial Studies will receive a copy of Uwe’s book "FX Options and Structured Products".
This course, by Professor Uwe Wystup, extends his highly successful seminar on "Foreign Exchange Exotic Options". It is meant for a technical/quantitative audience with good programming skills familiar with the preceding seminar. Uwe provides an overview of the models used in the FX Options market, discusses their pros and cons and numerical details in the implementation.
Delegates are expected to be familiar with the financial products, stochastic calculus, linear algebra, complex numbers and advanced calculus.
Presented by Alexander Stromilo.
The 2007-2008 Credit crunch showed us many inconsistencies and "wrong ideas" used in financial models: VaR is too risky, while Libor is not risk-free anymore. Post-crisis regulations like ISDA Master Agreement including the Credit Support Annex (mandatory collateralization in OTC) posted new rules that must be taken into account. "New models" used by large market players make it impossible for others to still use the "old ones". The financial world has changed, and we have to adjust our point of view accordingly.
This seminar addresses several questions arising from the Interest Rate Market.
Presented by Prof Uwe Wystup.
This is part of a series of webinars of FX Options in treasury. Some of the questions we shall answer include:
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 23rd and 24th of March 2015.
For over 13 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.
If you have questions please contact us!
Please check our conference video!
Any theory must be proven. For this reason, an interesting and simple example was created, which is actually a paradox. It describes a class of very profitable strategies. But such strategies cannot work eternally. Otherwise, it would be possible to make unlimited amounts of money at any time. So when such strategies become available, markets change, and this makes them more efficient.
You can buy an asset, wait until the price changes and sell it. The difference in price will be your return. Suppose you can do the same with another asset, whose price is opposite to the first one’s. It is easy to show that the sum of returns is never negative. You always have profit.
This situation appears like arbitrage and theoretically allows to make an infinite amount of money. Where is the catch?
The ARPM Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the latest advanced statistical and optimization techniques, in nine intense, heavily quantitative hours each day, with theory, live simulations, review sessions and exercises.
Topics include portfolio construction, factor modeling, copulas, liquidity, risk modeling, and much more.
Also features Gala Dinner with world-renowned speakers such as Rob Almgren, Peter Carr, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Fabio Mercurio, Steven Shreve.
See a short video!
Go here to register with the discounted supporter rate or contact us at firstname.lastname@example.org.
The conference will take place between the 15th and 18th December 2015 at the Hilton Hotel. The event will bring together leading experts in Quantitative Finance Industry and Academia in Sydney Australia.
Pensions, Insurance, Regulation, Model Risk, CVA, Risk Measurement, Commodities, Emissions Trading and other areas of Quantitative Finance
PLENARY SPEAKERS INCLUDE
Hansjoerg Albrecher, Alexandre Antonov, Francesca Biagini, Rama Cont, Mark Davis, Freddy Delbaen, Ernst Eberlein, Robert Elliott, Paul Embrechts, Hélyette Geman, Martino Grasselli, Paolo Guasoni, Xin Guo, Constantinos Kardaras, Steve Kou, Dilip Madan, Marek Musiela, Shige Peng, Johannes Ruf, Klaus Sandmann, Michael Schmutz, Stefan Tappe, Dirk Tasche, Xun Yu Zhou
The abstract submission is open until 1st May 2015!
View detailed info | Register
Please note that Early Bird end on 15 September 2015!
London: 4th - 6th March 2015
This advanced three-day course covers the pricing, hedging and application of FX
exotics for use in trading, risk management, financial engineering and structured
FX exotics are becoming increasingly commonplace in today’s capital markets.
The objective of this workshop is to develop a solid understanding of the current
exotic currency derivatives used in international treasury management. This will
give participants the mathematical and practical background necessary to deal with
all the products on the market.
Presented By: Prof Dr Uwe Wystup
London: 9th - 10th March 2015
This course explains and describes the valuation adjustments in derivatives pricing
in relation to counterparty risk, collateral, funding and capital components. The
ideas are built up sequentially and workshops are used to develop the key ideas
including simulation of exposure, the impact of risk mitigants and calculation of
CVA, DVA, FVA, CollVA, KCVA and MVA.
Presented By: Jon Gregory
London: 11th - 12th March 2015
Central Counterparties (CCPs) have existed for many years to guarantee performance
in exchange traded derivative markets. However, they also offer a similar role in
reducing counterparty risk in bilateral over-the-counter (OTC) derivative markets.
Regulation stemming from the global financial crisis of 2007 onwards has mandated
that many standard OTC derivative transactions must be cleared through a qualifying
CCP. This move towards central clearing is therefore going to create a dramatic
shift in the topology of financial markets together with a significant reallocation
of counterparty and systemic risks and is an important consideration for all financial
institutions whether they may be CCP members or alternatively clear trades indirectly.
The aim of this course is to explain in details the mechanics of central clearing
for OTC derivatives and assess the potential future landscape and the opportunities
and risks created by the move to central clearing.
New York: 17th - 18th March 2015
A comprehensive workshop on pricing and managing structured interest rate derivatives.
What used to be called exotic interest rate derivatives are now commonplace and
an essential part of the financial marketplace.
Presented By: Dr. David Cox
New York: 19th - 20th March 2015
The market for index-linked bonds and inflation derivatives has grown rapidly in
recent years. This programme covers the mechanics of the instruments, their valuation
and how they can be used to take or hedge inflation exposure alone or embedded in
New York: 20th - 22nd April 2015
This program will give you the confidence to use, price, market, evaluate and manage
risk with FX Vanilla options, including best practice and conventions from buy side
and sell side.
Delegates will gain a solid understanding of the markets and an insight into standard
models used for pricing these products and managing Foreign Exchange risk.
Presented By: Dr. Zareer Dadachanji
Singapore: 16th - 18th March 2015
A three-day advanced programme covering best practices in Asset-Liability Management
(ALM), as well as ALM’s relationships to capital and performance for financial institutions.
ALM will be shown to have evolved beyond basic management of incremental asset and
liability positions to a more comprehensive process that reflects the management
of an institution’s economic capital.
Presented By: William Allen
Singapore: 19th - 20th March 2015
A two-day course covering the challenges and opportunities arising from the new
regulatory changes from Basel III as well as other major European, U.S., and other
country regulatory pronouncements, and their implications for management of bank
The programme covers best practices for regulatory capital management in key areas
such as: Credit and Market Risk Weighted Capital, Operational Risk Capital, Liquidity
Risk, Counterparty Risks, Concentration Risks, Risk Aggregation / Capital Allocation
and Stress Testing.
Presented By: William Blair Santos Allen
London Financial Studies is registered with CFA Institute as an Approved Provider of continuing education programs.
London Financial Studies is registered with GARP as an Approved Provider of continuing professional education (CPE) credits.
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