Events

Lectures on Topics in Financial Engineering (PART II)

2014-03-17 - 2014-03-18
Antwerp, Belgium

Part II: March 17-18, 2014 from 9:00-13:00h and 14:00-17:00h.

Foreign Exchange Derivatives Market: We cover the FX volatility smile construction, including various interpolation and extrapolation techniques in combination with the calibration using parametric, non-parametric, splines, vanna-volga, SABR approaches. In the second part we will explain some of the most popular products including structured FX forwards, flexi forwards, target forwards, quantos and baskets.

Participants are expected to bring along their own laptops with MS Excel installed and internet browser. We will do live exercises in class working with VBA and Excel. Programming in Matlab is also possible.

Lecturer: Uwe Wystup, Part-time Professor of Financial Option Price Modeling at the University of Antwerp.

Uwe Wystup is managing director of www.mathfinance.com, a global network of quants specializing in modeling and implementing and validating derivatives models. He has been working as Financial Engineer, Structurer and Consultant in FX Options Trading Teams of Citibank, UBS, Sal. Oppenheim and Commerzbank since 1992 and became an internationally known FX Options expert in both Academia and Practice.
Uwe holds a PhD in mathematical finance from Carnegie Mellon University, serves as an honorary professor of Quantitative Finance at Frankfurt School of Finance & Management Associate Fellow at Warwick Business School, Lecturer at National University of Singapore.
His first book Foreign Exchange Risk co-edited with Jürgen Hakala published in 2002, has become a market standard. His second book on FX Options and Structured Products appeared in 2006 as part of the Willey Finance Series. He has also published articles in Finance and Stochastics, the Journal of Derivatives, Review of Derivatives Research, Quantitative Finance, the Annals of Finance, the European Actuarial Journal, Wilmott Magazine, Derivatives Week.

Location: Department of Mathematics and Computer Science, Campus Middelheim, University of Antwerp, room to be announced.

The lectures are open to all doctoral students and postdocs in the WOG network. Participation is free, but registration is required. If you wish to attend, send a short email with your name and affiliation before January 30, 2014 to Karel in ‘t Hout at karel.inthout@uantwerpen.be
Doctoral students whose supervisor is a member of the network or postdocs in the WOG network who take part in both days of the lectures can apply for a refund of train costs based on a Go-Pass or Rail-Pass and of and bus/tram costs based on a card for multiple trips or on individual trips when these are cheaper.
Those who want to make use of this opportunity send a mail to michele.vanmaele@ugent.be.