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Researcher

Uwe Peter Wystup

  • Research Expertise:modeling of financial markets with a special emphasis on foreign exchange rates, for the purpose of valuation of foreign exchange derivative contracts; volatility surface construction, calibration of stochastic and local volatility models to market quotations, arbitrage checks, model validation, model governance, currency fixing governance
  • Keywords:FOREIGN EXCHANGE DERIVATIVES, CURRENCY OPTIONS, CAPITAL INVESTMENT ANALYSIS, MONTE CARLO SIMULATIONS, Mathematics
  • Disciplines:Algebra, Analysis, Applied mathematics in specific fields, General mathematics, Geometry, History and foundations, Statistics and numerical methods, Other mathematical sciences and statistics, Other natural sciences
  • Research techniques:numerical methods for solving partial differential equations, integrals, Fourrier transforms, Monte Carlo simulations, stochastic analysis and control, theory of mathematical finance
  • Users of research expertise:currency options trader, risk manager, financial engineer, commercial court, criminal court, arbitration center, software engineer, corporate treasurer, municipality treasurer, foreign exchange risk hedge coordinator

Affiliations

Publications

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