Mathematical Models
for the Finance Industry

simply closer to the market

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Products

FX Options belong to our core passion. Based on our decades of experience in front-office roles and many consulting projects we have developed our MFVal in-house, which can be integrated into your risk management system.

MFVal – the FX Volatility Surface Library

written in C++, interfacing to excel, python

taking up common brokers’ quotes for ATM, risk reversals and butterflies for standard tenors

interpolating / extrapolating volatilities in both space and time

respecting arbitrage constraints, sufficient smoothness and richness

including calendar features, time-zone/event weighting

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processing the full range of delta and moneyness conventions

Example:
EUR-USD volatility smile (dots as input) and the interpolation in MFVal

Products - MathFinance
Products - MathFinance

Contact us if you want solutions on our FX Options Products, Consultation on Pricing & Risk Model and Expert Witness/Conflict Resolution Services.

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