by asadmin-7635 | Jun 23, 2017 | Newsletter
Editorial How good is FX volatility data and where do we source it Many questions arise as to how to access and interpret FX volatility market data for both live data and historic data. Let me provide an overview what is going on in the industry. Generally, we need to...
by asadmin-7635 | May 30, 2017 | Newsletter
How can a 50/50 bet have a profit of 70%? A digital call (put) option with a strike at-the-money (ATM) pays 1 USD if the price of the underlying is at or above (below) the strike at maturity. Ignoring a drift (caused by the forward curve), one would expect a profit to...
by asadmin-7635 | Apr 28, 2017 | Newsletter
MathFinance Conference Recap The 17th MathFinance Conference we held in Frankfurt on 20-21 April 2017 was once more the key event in Germany for quants. More than 110 registered participants, at least 30 from countries outside Germany including Taiwan had attended,...
by asadmin-7635 | Mar 29, 2017 | Newsletter
Arbitrage in the Perfect Volatility Surface Constructing the FX volatility surface is an ongoing challenge in the derivatives industry, even for quants – or should I say, only for quants, because I am quite sure the vast majority of the population couldn’t care less?...
by asadmin-7635 | Feb 27, 2017 | Newsletter
Derivatives Technology as a Matter of Survival How can banks survive the upcoming years? The traditional business model no longer works, because: 1. Low/Negative Interest Rates: Interest rates in many major currencies (EUR, CHF, JPY in particular) are low or...
by asadmin-7635 | Jan 25, 2017 | Newsletter
Once again: MathFinance Conference (20-21 April) – for the 17th time we will bring the quantitative finance community in Europe together to discuss many cutting edge issues and research results. We are looking forward to the keynote speech of Wolfgang Hartmann...
