* Prices do not contain VAT and shipping costs!
Team & Network
Info & Contact
A finely tuned, innovative and state of the art conference attended by practitioners as well as academics.
Check our latest trainings!
We can re-evaluate your portfolio, analyze its risk or reasons for a close-out, explain how trading, structuring, sales and risk management works.
Our key expertise is the combination of high-end financial modeling and strong IT skills.
Professor Uwe Wystup and the MathFinance team answers your questions!
Excel based Pricing /Structuring /Portfolio Analysis for Foreign Exchange Options
Excel based interest rate calculation library including current developments on the market.
Local Stochastic Volatility (LSV) pricing for FX derivatives.
Analyses and compares investment strategies, especially for the long term, with and without guarantees.
Easy to carry-on reference manual that contains all you need to know as a quant to pass exams and interview questions!
Analytic option pricing formulae: values, Greeks, properties, numerical examples. Only available for registered users!
by Prof. Dr. Wystup
by Dr. Brockhaus
(Un)Register to our monhtly newsletter.
See all of our other issues. Only for registered members!
See our policy and how you can become an advertiser.
Check our latest offers, varying on the advertisement duration and also the content.
Who are our clients? Who can be exempted from VAT?
MathFinance Interest Rate Calculation Library
It is possible to select the desired set of instruments for the IR Term Structure
bootstrapping. For example the Depos, FRAs, Fxd-Flt Swaps, OIS, Tenor Swaps can
be used to build the discount curve D(t) and the forward rates surface F(T1,T2)
and the forward volatility surface σ(T1,T2)can be compted out of the Cap Vols.
The library is user friendly and saves you a lot of time in the calibration process.
With just one click our users are able to correctly calibrate the IR Term Structure
and instantly receive the necessary graphs (Forward Rates, Volatility Surfaces...).
Moreover, our intuitive wizards offer the guidance needed to price any unquoted
While pricing Swaps, our customers can use payment schedules and by the click of
a button they can rapidly adjust the floating leg Spread or, alternatively the Swap
Rate in order to get a swap with a desired value.
Pricing caps and floors has never been easier: just plug in the nominal and caplet
strikes and we take care of the volatility interpolation, by providing an automated
process that computes the forward (caplet) vols for given strikes.
The utilities included in the library offer a fast approach in creating an individual
schedule, getting discount factors, forward rates, forward volatilities and many
The pricing library is available as DLL, which can be linked flexibly to many front-end
For more details please see our Product Flyer and for the function declaration please go
To request a free trial license and inquire about one-time or license fees and support
please contact us at
In the future you will be able to request a license here.
Please log in!
What we do
Online Fx Option Pricer
Desktop Fx Option Pricer
Terms and Conditions