MathFinance Products

FX Vanilla Option Pricer

With detailed handling of the FX smile surface. Based on the input smile this tool allows computing values of vanilla put and call options with all relevant market conventions for spot date, spot value date, expiry date, delivery date. It comes as an XLL with excel front end. It has been sold to several of our clients. It can be useful for auditors, regulators and anybody who does not have the capacity to programm it.

FX Option Pricer

Calculates the TV (theoretical value), Greeks (delta, gamma, theta, rho domestic, rho foreign, vega, vanna, volga), Vanna-Volga value.
Products covered include:
  • Vanilla
  • Digital
  • OneTouch/NoTouch
  • DoubleOneTouch/DoubleNoTouch
  • Single Barrier (European and American)
  • Double Barrier
  • Single Window Barrier
  • Double Window Barrier(with window in the middle)
  • American knock-out European knock-in Barrier
  • Faders

Product Flyer | Try it out on our online calculator.

The FX Option pricing library is available as a DLL, XLL (windows) or SO (for unix/linux). As a test environment we provide a spread sheet for the windows version and text file for the linux version. A user's manual describes the details of the model, functions and integration.
For the OneTouch and NoTouch it is free and can be downloaded here.

If you would like to order the dll please contact us

MathFinance Pricing and Simulation Engine for exotic derivatives

Main focus on FX, also equities, some IR basics (one and two factor Vasicek, Hull-White, bootstrapping).
Models used:
  • Implied volatility surface interpolation and parametrization
  • Local volatility
  • Stochastic volatility (Heston, Schott-Chesney)
  • Jump diffusion and Levy
  • Stochastic volatility with jumps (Bates)
  • Vanna volga
  • Mixture models (mixing log normals)
  • Static, semi-static replication and superreplication

MathFinance Investment Simulator

Allows analysing and comparing investment strategies, especially for the long term, with and without guarantees. You enter how you want to invest (one-time, yearly, monthly), we compute federal bonus payments and the distribution of the capital available when you retire.
The strategies include:
  • Classic life insurance
  • Live insurance linked to funds
  • CPPI
  • Hyprid approaches
  • Bank savings plan

We use a jump diffusion model and allow arbitrary investment strategies and fee structures, with a special focus on the German Riester-Rente. Our Investment Simulator has been used for comparative studies ordered by DWS, AXA, EURO-Magazin.

Produktinformationen auf Deutsch: Riester Rechner | Zusammenfassung zu Garantiemodellen auf Deutsch | Weitere Publikationen

Foreign Exchange Risk

With more than 800 copies sold throught the world, this book is a wonderful opportunity to gain knowledge and insight in the area of FX Risk. The original book, edited by Jügen Hakala and Uwe Wystup came out in 2002 as a Risk Publication. In 2008, the new softcover reprint was issued and can now be ordered directly from

For more information about this book please click here .

FX Options and Structured Products

Written by Uwe Wystup, the book was published in 2006 by Wiley Finance. This book explains the most popular products and strategies with a focus on everything beyond vanilla options, dealing with these products in an accesible manner, giving practical applications and case studies.

For more information about this book please click here .

The Ultimate Quant Cheat Sheet

We have managed to condense on 6 pages decades of practical knowledge, thus making the cheat sheet an every day easy to carry-on reference manual and it also contains all you need to know as a quant to pass exams and interview questions!
With The Ultimate Quant Cheat Sheet project we support local charity organizations (Frankfurter Tafel, Gandhi Kinderhilfe) in order to have a more active role in the community and also to uphold our social responsabilities. For this purpose 8.00 EUR will be donated for each purchased cheat sheet.

For more information please click here .

Tailor made prototypes

Pricing and hedging tools for derivatives in C++, Mathematica, Visual Basic