by asadmin-7635 | Jan 24, 2017 | Newsletter
MATHFINANCE CONFERENCE ON APRIL 20-21, 2017 IN FRANKFURT Dear MathFinance Community, we would like to take this opportunity to invite you to join us again at our next MathFinance Conference on April 20 – 21, 2017 in Frankfurt. MathFinance Conference has been...
by asadmin-7635 | Dec 27, 2016 | Newsletter
What happened to currency fixings? The end of this year is coming up soon. But what about the end of the day, and the exchange rate at the end of a day? My general guideline to fixings is that all fixings are manipulated, which is exactly why they have been invented....
by asadmin-7635 | Nov 30, 2016 | Newsletter
How do we structure an inverse DCD? One of the questions I am asked a lot is how to structure an inverse DCD? A DCD or DCI is a Dual Currency Deposit or Dual Currency Investment. The key idea is easy: an investor deposits 10 M USD for 6 months and receives an enhanced...
by asadmin-7635 | Oct 29, 2016 | Newsletter
Ever heard of Robust Finance? In our MathFinance Colloquium in Frankfurt this week Thorsten Schmidt presented “Robust Finance” in a nutshell. The expectations around the term “robust” are very wide, but this is what we learned: The goal is to achieve robustness...
by asadmin-7635 | Sep 30, 2016 | Newsletter
Can Vega of a Double-No-Touch be Positive? While teaching classes on FX exotics over the last 20 years, there isn’t one day I don’t learn something new. In today’s example I would like to share one of the things I learned about the vega of a double-no-touch (DNT). The...
by asadmin-7635 | Aug 29, 2016 | Newsletter
Model Governance – The Relevance of Models in Risk Management The news of failed stress tests keeps coming back. Several banks, amongst them, Deutsche Bank failed the stress test required by the FED for the second time end of June. The reason wasn’t insufficient...
