Uwe Wystup

MathFinance AG

Managing Director

Schiesshohl 19

Waldems, 65529

Germany

http://www.mathfinance.com

Frankfurt School

Professor of Quantitative Finance

Sonnemannstra├če 9-11

Frankfurt am Main, 60314

Germany

http://www.frankfurt-school.de

SCHOLARLY PAPERS

3

DOWNLOADS

648

CITATIONS

0

Scholarly Papers (3)

1.

On the Valuation of Fader and Discrete Barrier Options in Heston's Stochastic Volatility Model

Number of pages: 29 Posted: 03 Dec 2008 Last Revised: 16 Dec 2010
Susanne Griebsch and Uwe Wystup
University of Technology, Sydney and MathFinance AG
Downloads 647 (39,391)

Abstract:

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Heston model, discrete barrier option, fader option, characteristic function

2.

Numerical Experiments on Hedging Cliquet Options

Journal of Risk, Vol. 17, No. 1, 2014
Number of pages: 20 Posted: 09 Jun 2016
Fiodar Kilin, Morten Nalholm and Uwe Wystup
Frankfurt School of Finance & Management, Copenhagen Business School - Department of Finance and MathFinance AG
Downloads 1 (648,637)
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Abstract:

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cliquet options, hedging, stochastic volatility models

3.

Installment Options: A Closed-Form Solution and the Limiting Case

Mathematical Control Theory and Finance, Springer, 2008. Edited by A. Sarychev, A. Shiryaev, M. Guerra, M.R. Grossinho.
Posted: 26 Feb 2013
University of Technology, Sydney, MathFinance AG and Goethe University Frankfurt

Abstract:

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Exotic Options