FX exotics and the relevance of computational methods ... - MathFinance
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FX exotics and the relevance of computational methods ... - MathFinance
Overview Accumulative Forward Instalment Options Greeks Contact Information
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FX exotics and the relevance of computational methods in their pricing and risk management Uwe Wystup
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Abstract
Overview Accumulative Forward Instalment Options Greeks Contact Information
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Starting with an overview of the current FX derivatives industry we take a look at a few examples where computational methods are crucial to run the daily business. The examples will include instalment contracts, accumulative forward contracts and the efficient computation of option price sensitivities
Overview Accumulative Forward Instalment Options Greeks Contact Information
1. Overview
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EUR/USD is one of the most liquid underlying markets Trading activities in FX are 1. Spot/Forward (90%) - extremely small margins 2. Vanilla Options (9%) - small margins 3. Exotic Options (1%) - potentially higher margins
1.1. FX Exotics 1. barrier and touch options
Overview Accumulative Forward Instalment Options
2. compound and instalment
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3. average rate options 4. forward start and cliquets
