Webinar: Uwe Wystrup: Mixed Local Volatility Models for FX Derivatives
Details
PLEASE NOTE THAT THIS WEBINAR WILL START ON WEDNESDAY, 20 APRIL, 2022, AT 6:30 PM BST (LONDON TIME) (1.30 PM EDT (NEW YORK TIME))
Proceeds from this event will be used to help Ukrainian refugees
-----------------------------------------------------------------------------------------
FULL TITLE: Mixed Local Volatility Models for FX Derivatives
ABSTRACT
The FX Derivatives market has widened long since, beyond currency hedging solutions for international corporates, tailored hedging for institutions and the retail market.
A market making bank distributing its FX derivatives through an electronic trading platform will have to ensure fast, robust and prices pricing of vanilla and exotic contracts. We will compare vanna-volga, local volatility, stochastic volatility, stochastic-local volatility and mixed local volatility, identify the pros and cons and shed some light on model risk. It turns out that the class of mixed local volatility (MLV) models can be considered at common market practice. We will illustrate some live examples of pricing first generation exotics with various models.
BIOGRAPHY
Uwe Wystup ([uwe.wystup@mathfinance.com](mailto:uwe.wystup@mathfinance.com)) 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”, writes the FX column for Wilmott magazine and published in 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, judge at the financial court and commercial court Frankfurt. Ever since he started his FX options front-office role at Citibank in 1992 he has been a great fan of FX markets.