Uwe Wystup | University of Antwerp (original) (raw)
Phone: +49 69 678317 0
Address: MathFinance AG
Kaiserstraße 50
60329 Frankfurt am Main
Germany
less
Uploads
Papers by Uwe Wystup
Wilmott, Jul 1, 2023
If indices fall by 10 percent, shorts will rise by the same amount, right? Buckle up, we�re in fo... more If indices fall by 10 percent, shorts will rise by the same amount, right? Buckle up, we�re in for a ride
Bookmarks Related papers MentionsView impact
Social Science Research Network, 2008
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Wilmott, Nov 1, 2022
Three striking examples of how different theory can be from practice
Bookmarks Related papers MentionsView impact
Wilmott, May 1, 2022
50% interest on your savings? We�ll see you in court!
Bookmarks Related papers MentionsView impact
Wilmott, Jul 1, 2012
Bookmarks Related papers MentionsView impact
European Actuarial Journal, Jun 4, 2013
Bookmarks Related papers MentionsView impact
UMI Dissertation Services eBooks, 1998
Bookmarks Related papers MentionsView impact
Wilmott, Mar 1, 2023
When Imprisonment Depends on the Value of a Structured Interest Rate Swap
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
RePEc: Research Papers in Economics, 2008
Bookmarks Related papers MentionsView impact
RePEc: Research Papers in Economics, 2008
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Wilmott
With continuous time in a local vol model one needs to apply extra care when using the probabilit... more With continuous time in a local vol model one needs to apply extra care when using the probability density second order derivative further in the Dupire formula along with the time-derivative to compute local volatilities
Bookmarks Related papers MentionsView impact
Wilmott
KOAMKIEU refers to a double barrier option, with an American knock-out (KOAM) barrier and a Europ... more KOAMKIEU refers to a double barrier option, with an American knock-out (KOAM) barrier and a European knock-in barrier (KIEU)
Bookmarks Related papers MentionsView impact
Wilmott
Highlighting a few shortcuts in option pricing, in the spirit of sanity checks, quick answers, an... more Highlighting a few shortcuts in option pricing, in the spirit of sanity checks, quick answers, and passing interview questions.
Bookmarks Related papers MentionsView impact
Wilmott, 2023
Bookmarks Related papers MentionsView impact
Wilmott, 2023
50% interest on your savings? We'll see you in court!
Bookmarks Related papers MentionsView impact
Wilmott, 2022
Can a Butterfly be negative, and why do we use the probability density to check for Butterfly arb... more Can a Butterfly be negative, and why do we use the probability density to check for Butterfly arbitrage?
Bookmarks Related papers MentionsView impact
Isn't there anything cheaper than vanilla options? From an actuarial point of view a put or a... more Isn't there anything cheaper than vanilla options? From an actuarial point of view a put or a call option is an insurance against falling or rising exchange rates, and surely a buyer would like to keep the premium at a minimal level. For this reason barrier options have been invented. They belong to the first generation exotics. The premium can be lowered by shifting risk to the option holder. We give an overview of the issues related to barrier options
Bookmarks Related papers MentionsView impact
Wilmott, Jul 1, 2023
If indices fall by 10 percent, shorts will rise by the same amount, right? Buckle up, we�re in fo... more If indices fall by 10 percent, shorts will rise by the same amount, right? Buckle up, we�re in for a ride
Bookmarks Related papers MentionsView impact
Social Science Research Network, 2008
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Wilmott, Nov 1, 2022
Three striking examples of how different theory can be from practice
Bookmarks Related papers MentionsView impact
Wilmott, May 1, 2022
50% interest on your savings? We�ll see you in court!
Bookmarks Related papers MentionsView impact
Wilmott, Jul 1, 2012
Bookmarks Related papers MentionsView impact
European Actuarial Journal, Jun 4, 2013
Bookmarks Related papers MentionsView impact
UMI Dissertation Services eBooks, 1998
Bookmarks Related papers MentionsView impact
Wilmott, Mar 1, 2023
When Imprisonment Depends on the Value of a Structured Interest Rate Swap
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
RePEc: Research Papers in Economics, 2008
Bookmarks Related papers MentionsView impact
RePEc: Research Papers in Economics, 2008
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Wilmott
With continuous time in a local vol model one needs to apply extra care when using the probabilit... more With continuous time in a local vol model one needs to apply extra care when using the probability density second order derivative further in the Dupire formula along with the time-derivative to compute local volatilities
Bookmarks Related papers MentionsView impact
Wilmott
KOAMKIEU refers to a double barrier option, with an American knock-out (KOAM) barrier and a Europ... more KOAMKIEU refers to a double barrier option, with an American knock-out (KOAM) barrier and a European knock-in barrier (KIEU)
Bookmarks Related papers MentionsView impact
Wilmott
Highlighting a few shortcuts in option pricing, in the spirit of sanity checks, quick answers, an... more Highlighting a few shortcuts in option pricing, in the spirit of sanity checks, quick answers, and passing interview questions.
Bookmarks Related papers MentionsView impact
Wilmott, 2023
Bookmarks Related papers MentionsView impact
Wilmott, 2023
50% interest on your savings? We'll see you in court!
Bookmarks Related papers MentionsView impact
Wilmott, 2022
Can a Butterfly be negative, and why do we use the probability density to check for Butterfly arb... more Can a Butterfly be negative, and why do we use the probability density to check for Butterfly arbitrage?
Bookmarks Related papers MentionsView impact
Isn't there anything cheaper than vanilla options? From an actuarial point of view a put or a... more Isn't there anything cheaper than vanilla options? From an actuarial point of view a put or a call option is an insurance against falling or rising exchange rates, and surely a buyer would like to keep the premium at a minimal level. For this reason barrier options have been invented. They belong to the first generation exotics. The premium can be lowered by shifting risk to the option holder. We give an overview of the issues related to barrier options
Bookmarks Related papers MentionsView impact