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The black art of FX modelling

Date: 
Friday 22nd April 2005 - 11:30 to 12:30
Venue: 
INI Seminar Room 1
Abstract: 

The FX market place is the largest but least studied area of mathematical finance, primarily as the vast majority of trades are over-the-counter, but also because of the arcanery of FX quoting conventions. After demystifying the FX market it will be apparent that there is a rich source of option pricing information which can be used for model fitting. This talk will describe some of the in vogue approaches to solving the pricing problem for vanilla and exotics options and discuss some of the real-world issues facing FX quants. Additionally the future directions of FX modelling are pondered.

University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons