Skip directly to content

Recent Trends in Products and Models for FX Derivatives

Speaker: Dr. Uwe Wystup

CQF Institute is proud to bring you a free online talk with Dr. Uwe Wystup on Recent Trends in Products and Models for FX Derivatives

Abstract

The FX Derivatives market has long since widened beyond currency hedging solutions for international corporate companies, and now offers tailored hedging for institutions and the retail market. Yield enhancement strategies have also reached the private banking industry. In this talk, Uwe will highlight the most recent developments, looking specifically at dual currency investments and target forwards.

A market making bank distributing its FX derivatives through an electronic trading platform will have to ensure fast, robust pricing of vanilla and exotic contracts. Uwe will compare vanna-volga, local volatility, stochastic volatility, stochastic-local volatility, and mixed local volatility to identify the pros and cons of each and shed some light on model risk. Finally, Uwe will combine the products and models to see which model is most suitable for which product class.

Dr. Uwe Wystup's Bio

Uwe Wystup is the founder and Managing Director of MathFinance AG, an independent consulting and software company that specializes in FX derivatives pricing. Uwe got his PhD in Mathematical Finance with Steven E. Shreve at Carnegie Mellon University. He is the author of two books Foreign Exchange Risk and FX Options and Structured Products. Uwe writes the FX column for Wilmott magazine and has published many academic journals. Uwe is professor of Foreign Exchange Derivatives at University of Antwerp, and honorary professor of Quantitative Finance at Frankfurt School of Finance & Management, certified public expert for currency markets at Frankfurt’s Chamber of Commerce and the Expert Witness Institute. Ever since he started his FX options front-office role at Citibank in 1992 he has been a great fan of FX markets.