Articles
What Happened to Currency Fixings?
Now that manipulations of currency fixings have been examined and many fines have been paid, Uwe Wystup recaps how the fixing production has been reshaped […]
FX
News
Vol Surfaces: FMD Expands FX Options Offering
Fenics Market Data FXO 2.0 combines machine learning with improved analytics in upgrade to its FXO volatility service […]
News
“They Were Absolutely Convinced This Was Ready For The Dustbin”
Ever shrinking margins and the continued mass adoption of FX trading platforms present only one possible solution from the sell side perspective: increase volume. At first blush, not too daunting perhaps, since the product range […]
News
“The Minimum of the Smile Fit is Not Even in The Market!”
Uwe Wystup, well known to Wilmott Magazine readers for his FX column, recently spared some time to catch us up on current developments in the FX space from a quantitative perspective. Late February through March […]
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Articles
An Asymptotic FX Option Formula in the Cross Currency Libor Market Model
In this article, we introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03]. We first apply […]
Articles
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 (euros, CHF, JPY in particular) are low or even negative. […]
Julia
Julia Seminar for Quants in London
Last week’s Julia in Finance seminar in partnership with the CQF Institute, held in London, was a great success. More than 370 finance professionals registered online or attended in person. Along with customer and partner […]
Julia
Julia In Finance Seminar
16 March, 6.00pm – 9.00pm GMT Fitch Learning, 55 Mark Lane, London, EC3R 7NE In partnership with Julia Computing, the CQF Institute invites you to attend this upcoming free seminar. Attend live in London or […]