Prof. Dr. Uwe Wystup

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 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 Willey 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.


Books

Journal

Articles
  1. "Numerical Experiments on Hedging Cliquet Options”, by Fiodar Kilin, Morten Nalholm and Uwe Wystup, accepted for publication in Journal of Risk 2014.
  2. Return distributions of equity-linked retirement plans under jump and interest rate risk by Nils Detering, Andreas Weber and Uwe Wystup, European Actuarial Journal, Volume 3, Issue 1 (2013), Page 203-228, June 2013 (DOI 10.1007/s13385-013-0061-0, Print ISSN 2190-9733, Online ISSN 2190-9741)
  3. FX Volatility Smile Construction by Dimitri Reiswich and Wystup Uwe published in Wilmott, Volume 2012, Issue 60, pages 58-69
  4. Unifying exotic option closed formulas by Carlos Veiga, Uwe Wystup and Manuel L. Esquível . Now in print in Review of Derivatives Research, 2012 Volume 15, Number 2, Pages 99-128. The full text is available here
  5. Volatilität als Investment - Diversifikationseigenschaften von Volatilitätsstrategien, joint with Nils Detering and Qixiang Zhou. Also available as Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. January 2012. PDF in German| Slides in German
  6. A Guide to FX Options Quoting Conventionsby Uwe Wystup and Dimitri Reiswich in The Journal of Derivatives ,Winter 2010, Vol. 18, No. 2: pp. 58-68.
  7. FX Smile in the Heston Model, joint with Agnieszka Janek, Tino Kluge, Rafal Weron. In Statistical Tools for Finance and Insurance, Second Edition, eds. Pavel Cizek, Wolfgang Haerdle, Rafal Weron. Springer, 2011, pp. 133-162.
  8. On the Calibration of the Cheyette Interest Rate Model, joint with Ingo Beyna. Also available as Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. September 2010.
  9. Return Distributions of Equity Linked Retirement Plans, joint with Nils Detering and Andreas Weber, in Statistical Tools for Finance and Insurance, P. Cizek, W. Härdle and R. Weron (Editors), Springer, 2011, pp. 393-413. Zusammenfassung zu Garantiemodellen auf Deutsch. (Folien Garantiemodelle auf Deutsch).
  10. Unifying Exotic Option Closed Formulas, joint with Manuel L. Esquível and Carlos Veiga, Review of Derivatives Research, Oct 2011 online version. Also available as Research Report No.23 , Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. January 2010.
  11. Issuers' commitments would add more value than any rating scheme could ever do, joint with Carlos Veiga, in Contemporary Quantitative Finance - Essays in Honour of Eckhard PlatenCarl Chiarella, Alexander Novikov (Eds.), Springer. 2010.
  12. Riesterrente im Vergleich- eine Simulationsstudie zur Verteilung der Rendite im Auftrag von Euro-Magazin, mit Nils Detering und Andreas Weber, MathFinance AG. November 2009.
  13. FX Volatility Smile Construction (pdf), joint with Dimitri Reiswich, submitted for publication. Also available as Research Report No.20, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. September 2009.
  14. On the Valuation of Fader and Discrete Barrier Options in Heston's Stochastic Volatility Model, joint with Susanne Griebsch, Quantitative Finance, Dec 2010. Also available at SSRN.
  15. Foreign Exchange Options - A Trader's View (pdf), joint with Markus Cekan and Armin Wendel, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.727-731.
  16. Pricing Formulae for Foreign Exchange Options (pdf), joint with Andreas Weber, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.1408-1418.
  17. Foreign Exchange Basket Options (pdf), joint with Jürgen Hakala, Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.717-721.
  18. Vanna-Volga Pricing (pdf), Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp. 1867-1874.
  19. Foreign Exchange Symmetries (pdf), Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.752-759.
  20. Quanto Options (pdf), Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp. 1455-1460.
  21. Foreign Exchange Smile Interpolation (pdf), Contribution to Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010. pp.742-745.
  22. Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen (pdf, slides in German, slides in English), joint with Andreas Weber, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management . August 2008.
  23. Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen (pdf , slides in German, slides in English), joint with Andreas Weber, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management . August 2008.
  24. Darstellung des Forschungsschwerpunktes Quantitative Finance, in: Müller, Klaus-Peter; Udo Steffens (ed.): Die Zukunft der Finanzdienstleistungsindustrie in Deutschland , Frankfurt am Main: Frankfurt School-Verlag, 2008, S. 205-208
  25. Closed Formula for Options with Discrete Dividends and its Derivatives, joint with Carlos Veiga, Applied Mathematical Finance, Volume 16 Issue 6, 517-531. Also available as Research Report No.16, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management, May 2008.
  26. On the Cost of Poor Volatility Modeling: The Case of Cliquets, joint with Fiodar Kilin and Morten Nalholm, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. February 2008.
  27. Was kostet die Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen (pdf, slides in German, slides in English), joint with Christoph Becker, Research Report No 8, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. January 2008.
  28. Instalment Options: A Closed-Form Solution and the Limiting Case (print version, screen version, slides), joint with Christoph Kühn and Susanne Griebsch, in Mathematical Control Theory and Finance, edited by A. Sarychev, A. Shiryaev, M. Guerra, M.R. Grossinho. Springer, 211-229. Heidelberg: Springer, 2008. Also available as Research Report No 5, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. February 2007
  29. Die Weltformel des Kapitalismus, DIE ZEIT, Nr 22, 24. June 2006, p.39. Article written by Robert von Heusinger, joint with Uwe Wystup. The corresponding Excel Sheet is here
  30. Nichts für Einzelkämpfer - über Investmentbanker und was sie heute wissen müssen, Staufenbiel Finanzwelt und Beratung, 2005, p.12.
  31. On the Cost of Delayed Currency Fixing Announcements (paper in pdf format- slides in pdf format- handouts in pdf format- Talk audio file in MP3 format), joint with Christoph Becker, Annals of Finance, Volume 5, Issue 2 (2009), pp. 161-174
  32. The Heston Model and the Smile, joint with Rafal Weron, Chapter contribution to the book Statistical Tools for Finance and Insurance, eds. Pavel Cizek, Wolfgang Haerdle, Rafal Weron. 2004. (e-book)
  33. Efficient Computation of Option Price Sensitivities for Options of American Style (pdf ), joint with Christian Wallner, Wilmott. November 2004, pp. 72-81.
  34. The market price of one-touch options in foreign exchange markets (pdf), Derivatives WeekVol. XII, no. 13, p. 8-9, London 2003.
  35. Valuation of options in Heston's stochastic volatility model using finite element methods, joint with Thomas Apel and Gunter Winkler (pdf), Foreign Exchange Risk, Risk Publications, London 2002.
  36. How the Greeks would have hedged correlation risk of foreign exchange options (pdf ), Wilmott Research Report August 2001. Also in Foreign Exchange Risk, Risk Publications, London 2002.
  37. Dealing with dangerous digitals, joint with Steven E. Shreve and Uwe Schmock (pdf), Foreign Exchange Risk, Risk Publications, London 2002.
  38. Efficient computation of option price sensitivities using homogeneity and other tricks, joint with Oliver Reiss (pdf), The Journal of DerivativesVol. 9 No. 2, Winter 2001, also in Foreign Exchange Risk, Risk Publications, London 2002.
  39. Monte Carlo simulations and variance reduction techniques, joint with Jürgen Hakala, Bereshad Nonas and Tino Senge, Foreign Exchange Risk, Risk Publications, London 2002.
  40. Quasi random numbers and their application to pricing basket and lookback options, joint with Jürgen Hakala, Tino Senge and Andreas Weber, Foreign Exchange Risk , Risk Publications, London 2002.
  41. Vanilla options, Foreign Exchange Risk, Risk Publications, London 2002.
  42. Volatility management, Foreign Exchange Risk, Risk Publications, London 2002.
  43. The pricing of first generation exotics, joint with Jürgen Hakala and Ghislain Perissé, Foreign Exchange Risk, Risk Publications, London 2002.
  44. Binomial trees in one and two dimensions, joint with Ingo Schneider, Foreign Exchange Risk, Risk Publications, London 2002.
  45. Fast Fourier method for the valuation of options on several correlated currencies, joint with Annette Andreas, Bernd Engelmann and Peter Schwendner, Foreign Exchange Risk, Risk Publications, London 2002.
  46. Heston's stochastic volatility model applied to foreign exchange options, joint with Jürgen Hakala, Foreign Exchange Risk, Risk Publications, London 2002.
  47. A model for long term foreign exchange options, joint with Anna Davveta, Gian Marco Felice and Jürgen Hakala, Foreign Exchange Risk, Risk Publications, London 2002.
  48. Valuation of exotic options under short selling constraints, joint with Steven E. Shreve and Uwe Schmock (pdf), Finance and StochasticsVI, 2 (2002)
  49. Making the most out of Multiple Currency Exposure: Protection with Basket Options, joint with Jürgen Hakala (pdf). The Euromoney Foreign Exchange and Treasury Management Handbook 2002. Adrian Hornbrook.
  50. Foreign Exchange Derivatives, joint with Jürgen Hakala (pdf). The Euromoney Foreign Exchange and Treasury Management Handbook 2001. Adrian Hornbrook.
  51. Valuation of exotic options under short selling constraints as a singular stochastic control problem (pdf ), PhD Thesis, Carnegie Mellon University, 1998.

Media
  1. Trust is good, control is better Complex model validation, Risk Magazine, Oct 2011. Uwe Wystup’s validation of Murex’ Local-Stochastic Volatility Model. See pdf!
  2. Indexfonds sind längst nicht so sicher wie versprochen, Frankfurter Allgemeine Sonntagszeitung, 5. September 2010, Seite 47, Artikel von Christian Siedenbiedel.
  3. The problems with generally used interpolation spaces. Uwe Wystup’s review on Murex’ Logical Space In Risk Magazine, May 2010. See review!
  4. Vol Conundrum Solved?, Derivatives Week, vol XIX No. 16, p. 16, 26 April 2010, Uwe Wystup comments on Murex' Tremor model.
  5. Über Gebührenstruktur genau informieren, Fundresearch, 12. Januar 2010, Interview mit Uwe Wystup.
  6. Die Wahrheit über Riester, Frankfurter Rundschau, Nr. 1 / Seite 15-17, 2. Januar 2010, Artikel von Bernd Salzmann.
  7. Riestern lohnt sich nur selten, Frankfurt Allgemeine Sonntagszeitung, Nr. 48 / Seite 45, 29. November 2009, Artikel von Nadine Oberhuber.
  8. Testlauf für den Ruhestand. Exklusiv ermittelt: Die besten Riester- und Rürup-Produkte, Euro, Dezember 2009, Artikel von Ralf Ferken.
  9. Riesterfonds auf dem Prüfstand, Euro-Vorankündigung, 27. Oktober 2009.
  10. Geldanlage & Börse Garantiefonds: Bestseller fressen Rendite , Pressemitteilung, The Associated Press, 25. Oktober 2009.
  11. Was versteht man unter einem CPPI-Modell?, Das Investment, 15. September 2009, Leser fragen - Experten antworten.
  12. Garantiefonds - sicherer Hafen oder Rendite-Hemmschuh?, 24 März 2009, Artikel von Toralf Richter Online-Redaktion der Aspect Online AG
  13. Garantiert Kompliziert, DIE ZEIT , 25. September 2008, Artikel von Jürgen Drommert.
  14. Gebühren fressen die staatlichen Zulagen auf, Die Welt, 18. August 2008. Artikel von Barbara Brandstetter.
  15. Die Riester-Räuber, Süddeutsche Zeitung, S. 23, 23. Juli 2008. Artikel von Markus Zydra.
  16. Wetten auf Sommerlöcher, Süddeutsche Zeitung, Nr. 129, Derivate & Zertifikate, S. 38, 5. Juni 2008. Interview von Andrea Hessler.
  17. Arbeite nie für die Banken, GoldSeiten.de, 13. April 2008. Artikel von Manfred Gburek.
  18. Nehmen Sie Ihre Finanzen endlich selbst in die Hand, GoldSeiten.de, 16. März 2008. Artikel von Manfred Gburek.
  19. Sicherheitsprodukte: Enttäuschung garantiert, Wirtschaftsblatt, 8. März 2008. Artikel von Hans-Jörg Bruckberger und Christian Kreuzer.
  20. Bremse getreten, Wirtschaftswoche, 3. März 2008, page 122. Article written by Heike Schwerdtfeger.
  21. Angst wird zum Renditefresser, Financial Times Deutschland, 1. Februar 2008, page 26. Article written by Andreas Preissner.
  22. Garantien kosten Rendite, Börse Online, 15. November 2007. Article written by Tobias Kaiser.
  23. Garantiert teuer, Handelsblatt, 26. Oktober 2007. Article written by Frank Wiebke.
  24. Garantien: Langfristig zu teuer erkaufte Sicherheit , Pressemitteilung von Franklin Templeton , 25. Oktober 2007.
  25. Garantiert überflüssig, Portfolio International, September 2007, p.30. Article written by Cora Gutierrez based on an interview with Uwe Wystup.
  26. Angstige beleggers betalen hoge prijs, Financieele Dagblad, 9 of June 2007, p.10. Article written by Frits Conijn based on an interview with Uwe Wystup.
  27. Anlegerschützer beklagen Wildwuchs bei Zertifikaten, Handelsblatt, 6. Februar 2007, p.33. Article written by Ralf Drescher.
  28. Es war einmal ein fairer Preis, DIE ZEIT, Nr 6, 1. Februar 2007, p.33. Article written by Claas Pieper.

Talks
  1. FX Options Model and Product Trends. Keynote at the Frankfurt MathFinance Conference, 18-19 March 2013
  2. FX Options Model Trends. Invited talk at the first Asian Quantitative Finance Conference, National University of Singapore, Jan 9-11 2013.
  3. Independent validation of "Tremor", the Local-Stochastic Volatility model by Murex on the Global Derivatives USA Conference, 14-17 November 2011 in Chicago. See pdf!
  4. Currency Exchange Option in Long Term Roll-Over Loans at the Thalesians, Canary Wharf, London on Wednesday Oct 12 2011. Slides available upon request.
  5. Comparing return distributions of equity linked retirement provision plans with different capital guarantee mechanisms and fee structures, Frankfurt School of Finance & Management, 22 Oct 2011. See pdf!
  6. Renditen langfristiger Sparpläne mit Garantien im Vergleich 2. BRBZ-Rechtsberatungskongress zur betrieblichen Altersversorgung 2011 www.brbz-kongress.de, 27 May 2011. See pdf!
  7. Tremor Model, MathFinance Conference 2011. See pdf!
  8. SIAM conference, 19-20 Nov 2010, San Francisco, FX Smile Construction. See pdf!
  9. Vedic Mathematics: Teaching an Old Dog New Tricks, MathFinance Conference 2010
  10. Ist die Einführung der Riester-Rente vor allem ein Geschenk an die Finanzindustrie? - Gebühren vs. Zulagen, Investmentansätze, Verbraucherinformationen. Betrachtung nach der Finanzkrise German Mathematica TourFrankfurt, 30. September 2009
  11. Comparison of fee structures and investment concepts for the German Riester-Rente. Risk Europe, Frankfurt, Germany, June 3-5 2009
  12. FX Volatility Smile Construction.Risk Event on modeling and hedging FX Options, London, April 29 2009
  13. FX Basket options valuation with smile.Third Conference on Numerical Methods in Finance, Paris, April 15-17 2009
  14. Efficient Evaluation and Hedging of FX Basket Options with Smile.Cass Business School, London, April 8 2009
  15. On the Cost of Poor Volatility Modeling - The Case of Cliquets.SIAM Conference on Financial Mathematics & Engineering, New Brunswick, New Jersey, November 22 2008
  16. Pricing of First Generation Exotics with the Vanna-Volga Method: Pros and Cons. Probability and Mathematical Finance Seminar, Carnegie Mellon University, November 10 2008
  17. Pricing of First Generation Exotics with the Vanna-Volga Method: Pros and Cons. Keynote at Workshop on Computational Methods for Pricing and Hedging Exotic Options, Mathematics Research Institute, University of Warwick, July 11-12 2008
  18. On the Cost of Poor Volatility Modeling - The Case of Cliquets.Probability and Mathematical Finance Seminar, Carnegie Mellon University, April 21 2008
  19. Ist die Einführung der Riester-Rente vor allem ein Geschenk an die Finanzindustrie? - Gebühren vs. Zulagen, Investmentansätze, Verbraucherinformationen. Frankfurt Schoolim Dialog mit Walter Riester, 12. März 2008
  20. On the Price of a Guaranty- Invited Talk at the Wealth Management & Private Banking 2007, Institute for International Research (I.I.R) B.V. Amsterdam, November 27, 2007
  21. Was kostet der Vollkaskoschutz den deutschen Anleger- Vortrag auf der Morningstar Investment Konferenz Wiesbaden, November 7, 2007
  22. On the Price of a Guaranty- Invited Talk at the Mid-Term Conference on Advanced Mathematical Methods for Finance , September 17-22, 2007
  23. On the Price of a Guaranty- Derivatives: A Need 4U2, Amsterdam, June 7 2007
  24. The Impact of FX Options on the Spot Market and the Cost of Delayed Currency Fixing Announcements- FX & MM Conference, Garmisch-Partenkirchen, March 15-18 2006
  25. Stochastische Volatilität vs. Traders' Rule of Thumb- Bewertung exotischer Optionen im Vergleich, University of Trier, July 21 2005
  26. FX Instalment Options- We compare pricing techniques, present a new closed form solution and analyze the limiting case. Joint work with Susanne Griebsch and Christoph Kühn, Goethe University, 3rd World Congress of the Bachelier Finance Society, Chicago, July 24 2004
  27. FX Instalment Options- We compare pricing techniques, present a new closed form solution and analyze the limiting case. Joint work with Susanne Griebsch and Christoph Kühn, Goethe University, Risk Europe, London, April 28 2004
  28. Stochastische Volatilität - Motivation und Anwendung auf die Bewertung exotischer OptionenAntrittsvorlesung, Hochschule für Bankwirtschaft, Frankfurt, Jan 14 2004
  29. FX exotics and the relevance of computational methods in their pricing and risk management - 3 examples about accumulative forwards, instalments and Greeks. Winter school on Mathematical Finance, Lunteren, Dec 17-19 2003
  30. Wie verdienen die Banken Ihr GeldEuropean Banking and Insurance Fair, Frankfurt, Oct 28 2003
  31. RISK training courseon volatility forecasting and modelling techniques, London, June 26-27 2003 Applying stochastic volatility models to pricing FX exotic options up to the market
  32. Oxford University, England, June 25 2003, Hedging correlation risk in foreign exchange options markets
  33. Goethe University, Frankfurt (Germany), May 9 2003, How the Greeks would have hedged correlation risk in foreign exchange options markets
  34. Technical University, Munich (Germany), April 25 2003, Pricing one-touch FX options up to the market - a comparison of the trader's rule of thumb and stochastic volatility models
  35. McMaster University, Hamilton (Canada), February 25 2003, Pricing one-touch FX options up to the market - a comparison of the trader's rule of thumb and stochastic volatility models
  36. Second World Congress of the Bachelier Finance Society, Agia Pelagia (Crete), June 12-15 2002, Stochastic volatility models applied to foreign exchange options
  37. Frankfurt MathFinance Workshop, April 3-5 2002, Structured products and how banks are making money
  38. Columbia University, New York, March 1 2002, Stochastic volatility models applied to foreign exchange options
  39. RISK training courseon pricing, hedging and trading exotic derivatives, London, Feb 11-12 2002, New York March 4-5 2002 Ensuring efficient hedging of barrier options
  40. Joint Colloquium of the Universities of Giessen and Marburg, Germany, Feb 5 2002, Stochastic volatility models applied to foreign exchange options
  41. Financial Engineering Lab , University of Twente, The Netherlands, Jan 18 2002, Stochastic volatility models applied to foreign exchange options
  42. Hochschule für Bankwirtschaft (Frankfurt), Dec 15, 19 and 20 2001, Mathematik für Finanzderivate, joint with Heinz Cremers, Martin Hellmich, Xuyen Truong and Wolfgang Schmidt
  43. Center of Finance and Risk Management, University of Mainz, Germany, Dec 5 2001, Heston's stochastic volatility model applied to foreign exchange options
  44. Hochschule für Bankwirtschaft (Frankfurt), Oct 26 2001, Neue Quantitative Methoden im Bereich Devisenoptionen
  45. Hochschule für Bankwirtschaft (Frankfurt), Oct 5 2001, Introduction to Monte Carlo Simulation and its application to pricing derivatives
  46. The Financial Options Research Centre, University of Warwick, UK, Sept 10-11 2001, Heston's stochastic volatility model applied to foreign exchange options
  47. Frankfurt MathFinance Colloquiumat Goethe University, Workshop on Stochastic Volatility, May 18 2001, Heston's stochastic volatility model applied to foreign exchange options
  48. Stern School of Businessat New York University, Financial Engineering Associates Colloquium, Dec 11 2000, Trading floor quants - How quantitative analysts interact with traders, structurers and marketers
  49. Hochschule für Bankwirtschaft (Frankfurt), Dec 2000, How the Greeks would have hedged correlation risk of foreign exchange options
  50. RISK training courseon interest rate modelling, London, May 24-25 2001, Long Term FX Options: Model and Calibration
  51. RISK training courseon pricing, hedging and trading exotic derivatives, London, Dec 7-8, and New York, Dec 11-12 2000, Ensuring efficient hedging of barrier options
  52. Konstanz University, workshop on mathematical finance, Oct 5-7 2000, Efficient computation of option price sensitivities using homogeneity and other tricks
  53. National Institute of Management (Calcutta), July 11 2000, Introduction to mathematical finance
  54. Mathematical Research Center (Oberwolfach), Stochastic Analysis in Finance and Insurance, May 7-13 2000, Efficient computation of option price sensitivities using homogeneity and other tricks
  55. Technical University (Vienna), Adaptive Friday, March 14 2000, Computational aspects of option valuation in practice of daily trading
  56. International University (Bruchsal), Colloquium, March 13 2000, Financial markets: quantitative aspects
  57. Mexican Academy of Sciences (Mexico City), Foro: Matematicas Financieras, Dec 2-3 1999. Computational aspects of option valuation in practice of daily trading: correlation, Greeks, hedge cost supplements
  58. Technical University (Munich), Nov 12 1999, Dealing with dangerous digitals
  59. Weierstrass-Institute (Berlin), Colloquium, May 31 1999, Aspects of symmetry, homogeneity and duality in the Black-Scholes option pricing formula and their relevance for changing from national currencies to the Euro
  60. Allahabad Bank (Calcutta), July 1999, What is mathematical finance?
  61. Carnegie-Mellon-University (Pittsburgh), Computational Finance Research Seminar, Feb 2 1999, How the Greeks would have hedged correlation risk of foreign exchange options
  62. Gutenberg-University (Mainz), Dec 1998, Dealing with dangerous digitals
  63. Humboldt-University (Berlin), Workshop on Mathematical Finance, Dec 4-6, 1998, Dealing with dangerous digitals
  64. Goethe-University (Frankfurt), May 1998, Valuation of exotic options under short selling constraints as a singular stochastic control problem
  65. Indian Institute of Technology (Kharagpur), August 1995, Option pricing with binomial trees

Andreas Weber

Andreas is working as a Senior Financial Engineer and Partner at MathFinance AG responsible for developing pricing tools for financial derivatives. His main focus is on modeling and implementation of valuation methods in FX. He is also offering consultancy on implementing quantitative methods.

Previously he worked in the Financial Engineering team of Commerzbank AG, being responsible for Foreign Exchange options. This included the modeling and development of valuation and hedging tools for the FX Options desk, both OTC and listed products, the continuous maintenance and extension of the trading platform with exotic options as well as the coordination in this field of the bank-wide valuation platform with the IT, Risk Controlling, and Risk management groups.


Articles

  1. Return distributions of equity-linked retirement plans under jump and interest rate risk by Nils Detering, Andreas Weber and Uwe Wystup, European Actuarial Journal, June 2013 (DOI 10.1007/s13385-013-0061-0, Print ISSN 2190-9733, Online ISSN 2190-9741)
  2. Pricing Formulae for Foreign Exchange Options (pdf), joint with Uwe Wystup, Contribution to Encyclopedia of Quantitative Finance, Wiley. January 2009.
  3. Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen (slides in German), joint with Uwe Wystup, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. August 2008.
  4. Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen (slides in German), joint with Uwe Wystup, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. August 2008.
  5. Quasi random numbers and their application to pricing basket and lookback options, joint with  Jürgen Hakala, Tino Senge and Uwe Wystup, Foreign Exchange Risk, Risk Publications, London 2002.

Dr. Oliver Brockhaus

Oliver Brockhaus has 15 years of experience as quantitative analyst in the areas of equity and credit. His interests include stochastic volatility, correlation as well as dividend models. Oliver holds a doctorate in mathematics from the University of Bonn. He is Visiting Senior Fellow at London School of Economics.

The tutor has held numerous courses on equity derivatives since 2003 in four different formats (with and without collaborators). Previous participants came from institutions such as Barclays, CDC Ixis, CIC, Citadel, Citigroup, Commerzbank, DekaBank, Dexia, Eurex, Goldman Sachs, Hypovereinsbank, ING, KBC, National Australia Bank, Rabobank, SocGen, UBS, WestLB, Zürcher Kantonalbank.


Books

  1. Coauthor of Modelling and Hedging Equity DerivativesRisk Books (1999) ISBN-10: 1899332340
  2. Coauthor of Equity Derivatives and Market Risk ModelsRisk Books (2000) ISBN-10: 1899332871

Articles

  1. Copulas for Equity Derivatives, in J. Rank (Editor) Copulas: From Theory to Application in Finance, Risk Books (2006), ISBN-10: 190433945X
  2. Oliver Brockhaus and Douglas Long: Volatility swaps made simple, Risk magazine (Jan 2000)

Presentations

  1. Implied Monte-Carlo, Bachelier Conference Crete, June 2002
  2. A Complete Market Model for Implied Volatility, Bachelier Conference Chicago, July 2004
  3. Implied Sampling: Properties and Pitfalls, MathFinance, March 2006
  4. The Dynamics of Equity Returns, MathFinance, March 2012