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Foreign Exchange Options
- Pricing, Hedging and Applying Exotics and Structured Products

Date: 8-10 June 2010 (Singapore), 29 June-1 July 2010 (Japan, Tokyo)
Venue: Shangri-La Hotel (Singapore), Four Seasons Hotel Tokyo at Chinzan-so (Japan, Tokyo)

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Led by A World-Class Practitioner & Trainer:

Professor Uwe Wystup
  • Managing Director, MathFinance AG
  • Professor of Quantitative Finance, Frankfurt School of Finance & Management
  • An extremely experienced practitioner well known for his many publications. His 2002 book on foreign Exchange Risk has become a market standard


Professor Uwe Wystup is an extremely experienced practitioner in the field of foreign exchange options, a senior academic and a highly engaging trainer. He has worked as financial engineer, trader and structurer at Deutsche Bank, Citibank, UBS, Sal. Oppenheim and Commerzbank. He is also a Professor of Quantitative Finance at Frankfurt School of Finance & Management. He is founder and managing director of MathFinance AG, a global team of financial engineers providing consulting and software for FX options desks. Uwe earned a Doctor of Philosophy in Mathematical Finance from Carnegie Mellon University, Pittsburgh, where he is also a visiting professor.

As an FX Options international expert in both academia and practice, Uwe is well known for his many publications on FX exotics and related topics. His 2002 book on Foreign Exchange Risk has become a market standard. His new book on FX Options and Structured Products appeared in 2006 as part of the Wiley Finance series and a new one on modelling Foreign Exchange Options will appear in the same series soon.

The MathFinance team headed by Professor Uwe Wystup has accomplished a number of industry projects including:

  • Production of a FX exotic option pricing library in C++ with front ends Excel
  • Including the library for real time quotes of retail structured FX exotics for leading desk in Germany
  • Implementing a local volatility based pricing tool using finite differences for exotic equity derivatives for a large bank in Germany
  • Production of a back-testing environment for a leading Bank in Germany
  • Excel/VBA tools to price exotic products like discretely monitored partial lookback options for a hedge fund in London and shout FX forwards for a large consulting company in Hong Kong
  • Statistical survey and simulation of the performance of funds with and without guarantee for Franklin Templeton
  • Statistical survey and simulation of the performance of various retirement savings plans for DWS and AXA
  • Validation of the Tremor local-stochastic volatility model for Murex
  • Independent valuation of retail certificates for the bank in Germany with the most retail clients
  • Production of an independent Monte Carlo pricing engine that can price any exotic in many models including jump diffusions, Levy processes, local volatility models, stochastic volatility models