MathFinance Products

Software

MathFinance F(x)

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

MIRCL

The MathFinance Interest Rate Calculation Library is user friendly and saves you a lot of time in the calibration process.
Designed as an excel front-end, it covers multi-curves and valuation of swaps, caps, floors and swaptions. Moreover, our intuitive wizards offer the guidance needed to price any unquoted instrument.

Investment Simulator

Detailed handling of each cash flow, based on conditions; Investment strategies include stop-loss, CPPI, actuarial reserve funds and hybrids. Sample contract conditions are processed via dictionary concept. Model includes displaced jump diffusion and stochastic rates.

See our Pension Calculator for a simulation of such long-term investment plans.

Apps

Fx Option Pricer

The Fx Option Pricer is a web app using our pricing library. The library is used in the structuring suite ICY Fx at many banks and treasury departments all over Europe.

Pension Calculator

The Pension Calculator allows analysing and comparing investment strategies, especially for the long term, with and without guarantees. You may enter how you want to invest (one-time, yearly, monthly), we compute federal bonus payments and the distribution of the capital available when you retire.

Formulas

CheatSheet

We have managed to condense on 6 pages decades of practical knowledge, thus making the CheatSheet an everyday easy to carry-on reference manual and it also contains all you need to know as a quant to pass exams and interview questions!

With The Ultimate Quant Cheat Sheet project we support local charity organizations. 8.00 EUR will be donated to charity for each purchased cheat sheet.

Formula Catalogue

The catalogue contains analytic option pricing formulae: values, Greeks, properties, numerical examples. We also offer free sample source code in FORTRAN 90, C++, Visual Basic and Mathematica.

If you would like to submit your own contribution, we are glad to help. Please contact us!

Books

Foreign Exchange Risk

With more than 800 copies sold throught the world, this book is a wonderful opportunity to gain knowledge and insight in the area of FX Risk.

FX Options and Structured Products

Written by Uwe Wystup, the book explains the most popular products and strategies with a focus on everything beyond vanilla options, dealing with these products in an accessible manner and giving practical applications and structuring ideas.

Modeling & Hedging Equity Derivatives

Written by Oliver Brockhaus et al., the book goes into an in-depth analysis of probability theory and stochastic calculus as well as alternative approaches for products that cannot be valued within these frameworks. It provides a practical approach for hedging equity products beyond delta hedging and discusses practical implementation in detail.


Equity Derivatives and Market Risk Models

Written by Oliver Brockhaus et al., the book addresses the latest advancements in products and models including skew models, volatility contracts, and implementation of generic pricing tools. It brings the distilled knowledge and experience of an expert Deutsche Bank team to your desk.

Papers

Our research papers are published in Finance&Stochastics, Quantitative Finance, Applied Mathematical Finance, the Journal of Derivatives, the Review of Derivatives Research, the European Actuarial Journal, Derivatives Week and the FX sections in Wiley's Encyclopedia of Quantitative Finance.