Recent Trends in Products and Models for FX Derivatives
Fitch Learning
25 Canada Square
Canary Wharf
London
E14 5LQ
Tuesday 21st July 2020
6:00pm - 7:30pm
This event took place on 21st July 2020, so you won't be able to enquire. They may run the event again in the future. Contact the member by visiting their profile using the 'Member Profile' link above.
The FX Derivatives market has long since widened beyond currency hedging solutions for international corporate companies; and now offers tailored hedging for institutions and the retail market. Yield enhancement strategies have also reached the private banking industry. In this talk; Uwe will highlight the most recent developments; looking specifically at dual currency investments and target forwards. A market making bank distributing its FX derivatives through an electronic trading platform will have to ensure fast; robust pricing of vanilla and exotic contracts. Uwe will compare vanna-volga; local volatility; stochastic volatility; stochastic-local volatility; and mixed local volatility to identify the pros and cons of each and shed some light on model risk. Finally; Uwe will combine the products and models to see which model is most suitable for which product class
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