Koncz, Imre (Falkstenen AB)
How to make money by bets on functionals? - FX derivatives modelling and pricing
In our company we trade exotic derivative in the Foreign
Exchange market. In the asset class of currencies one can find the most
diverse universe of derivatives. Money can be made by using bets on very
complicated functionals of one or multi-dimensional price processes. E.g. you
can play for touch event, realized variance, correlation or wide
combinations of these.
The presentation aims to give a taste about our workflow. It includes
retrieving and processing market data, model calibration, pricing derivatives,
generating ideas, and trading, and we have to use stochastic calculus,
statistics, finance, and common sense as well. Some examples of the modelling
challenges, traps and interesting cases will be also shown.
Date: Oct. 20, Tuesday 4:15pm
Place: BME, Building „Q”, Room QBF13