Seminario Dottorato: FX derivatives and jump models

Wednesday 7 November 2012 - Giulio Miglietta

ARGOMENTI: Seminari Dottorato

Wednesday 7 November 2012 h. 15:00, room 2BC30
Giulio Miglietta (Dip. Mat. - Padova)
"FX derivatives and jump models"

After a quick overview of the needed probabilistic concepts, I present the building blocks of modern mathematical finance with some emphasis on the foreign-exchange (FX) market.
The anomalies recently experienced by the EURCHF (Euro - Swiss Franc) currency pair furnish the motivation for some simple extensions of the mainstream models used in the industry, namely models in which asset prices can exhibit discontinuities.
I then analyze the effect of model choice (including jump models) on some contracts which are very liquid in the FX world, namely one-touch options and variance swaps.

Rif. int. C. Marastoni, T. Vargiolu

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