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| An Asymptotic FX Option Formula in the Cross Currency Libor Market Model: Wilmott Magazine Article |
| Atsushi Kawai & Peter Jäckel |
510 Views |
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 the method to the lognormal LMM and lognormal FX model. Then, the method is applied to the displaced diffusion LMM and the displaced diffusion FX model. Some numerical examples show that the derived formulae are sufficiently accurate for practical applications.
[First published in issue 28 of Wilmott - March 2007] |
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| The Little Heston Trap: Wilmott Magazine Article |
| Hansjörg Albrecher, Philipp Mayer, Wim Schoutens & Jurgen Tistaert |
1028 Views |
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The role of characteristic functions in finance has been strongly amplified by the development of the general option pricing formula by Carr and Madan. As these functions are defined and operating in the complex plane, they potentially encompass a few well known numerical issues due to "branching"..
[First published in issue 27 of Wilmott - January 2007]
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| RiskMinds Risk & Financial Regulation Forum 2013 - 9th - 12th September 2013, Le Méridien, Nice, France |
RiskMinds Risk & Financial Regulation Forum 2013
9th - 12th September 2013, Le Méridien, Nice, France
www.riskmindsregulation.com/FKN2369WLWB
The RiskMinds Risk & Financial Regulation Forum is the only risk management event to bring together the banking, insurance and asset management industries to discuss the latest regulatory developments & their impact on risk management & business strategy.
This opportunity will be used to look at the interconnectivity of the financial services and how regulations function in this environment. They key players in the global regulatory landscape will be brought together for high-level discussion and new thought leadership, while extended sessions will allow for deeper discussion into the key topics including interconnectivity, business strategy, risk models and implementing the new regulatory requirements.
70+ industry leading speakers will give you the best insight during industry-focused sessions, including CROs from across the financial services including:
Banking CROs:
- Kenji Fujii, Head of Global Risk Management Group, Mizuho Securities
- Johan Anderson, Chief Risk Officer, Skandinaviska Enskilda Banken
- Kevin O?Rourke, Chief Risk Officer & General Manager, Mizuho Corporate Bank
Insurance CROs:
- Eberhard Mueller, Chief Risk Officer, Hannover RE
- Raj Singh, Group Chief Risk Officer, Standard Life
- Tom Wilson, Chief Risk Officer, Allianz
Investment Management CROs:
- David Suetens, International Chief Risk Officer, State Street
- John McMurray, Chief Risk Officer, Russell Investments
- Mark Cooke, Global Chief Risk Officer, Barclays Wealth
PLUS hear from leading Regulators from across the globe:
- Wayne Byres, Secretary General, Basel Committee on Banking Supervision
- Jose Maria Roldan, Director General Of Banking Regulation, Bank Of Spain
- Paul Sharma, Director of Policy and Deputy Head of Prudential Regulation, FSA
- Olivier Guersent, Head of Cabinet, Internal Market and Services, European Commission
Additionally, taking place on 9th September the workshops are in-depth, classroom-based learning sessions led by world-renowned experts in that field. Run in small groups so that each participant can receive one-on-one attention and provide the perfect opportunity to ask questions, gain real understanding of some complex topics and learn concrete solutions to problems you face every day in your role that you can implement as soon as you are back in the office. You can choose between;
- Measuring Credit Risk - Led by Ludger Overbeck, Professor of Financial Mathematics, The University of Giessen
- Risk Culture - Led by Professor Simon Ashby, Associate Professor, Plymouth Business School
Visit the website now for more details of the expert speaker line-up and 2013 programme: www.riskmindsregulation.com/FKN2369WLWB
Make sure you reserve your place asap to make the most of the early-bird discounts!
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