by Ansua Dutta-Wystup | Nov 30, 2017 | Newsletter
Editorial FX Options Delta Today let me illustrate the different types of Delta commonly used in the FX Options context. In FX, Delta, and many other Greeks, can be confusing, because they depend on the quotation of the currency pair as well as the currency in which...
by Ansua Dutta-Wystup | Nov 14, 2017 | Newsletter
Upcoming Events ARPM MARATHON 22 JANUARY 2018 – 01 JUNE 2018 New 5-month online course: master the most advanced quantitative techniques for investment Management. Instructions (links not longer available) The ARPM Marathon ensures a deep absorption of...
by asadmin-7635 | Oct 27, 2017 | Newsletter
Editorial FX Volatility Market Data: How Independent are 10-Delta Quotes for Risk Reversals and Butterflies? The information of the FX volatility surface is contained in a small set of market quotes as you would find them at brokers: ATM volatility, 25-Delta Risk...
by asadmin-7635 | Sep 27, 2017 | Newsletter
Editorial Case Study: Hedge Effectiveness of an FX Shark Forward under IFRS 9 With an upgrade from IAS 39 to IFRS 9 in the accounting, one question for exporters and importers that comes up is how to pass standard structured forwards through hedge accounting. The...
by Ansua Dutta-Wystup | Aug 31, 2017 | Newsletter
Editorial FX Options and Structured Products, 2nd Edition Finally, the second edition of FX Options and Structured Products has now been published. It took more than 10 years, but with much removed and added material, it has changed quite a bit. For...
by Ansua Dutta-Wystup | Jul 26, 2017 | Newsletter
Editorial Calendar arbitrage in the FX volatility surface Today I would like to share an observation with you that my colleagues Alexander and Andreas discovered when analyzing FX volatility market data. When we construct the FX volatility smile based on the usual FX...
