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Local Stochastic Volatility pricing of FX derivatives

MF LSV is MathFinance's Excel Add-In library featuring a Monte Carlo pricing engine for FX options including single and double barrier products. The FX dynamics blends local and stochastic volatility thus capturing market views on barrier products. The range of products can be extended according to your specification.

For more details please see our video and presentation.

Features:

  • The LSV model is based on Heston dynamics for stochastic volatility
  • Market data are provided by the user following standard market conventions
  • Stochastic volatility parameters can be calibrated to European options with specified strikes and maturities
  • For given stochastic volatility dynamics the local volatility function can be calibrated to European options with specified strikes and maturities
  • A mixing parameter allows specification of dynamics ranging from local volatility to stochastic volatility
  • The Monte Carlo pricing engine supports path dependent products including single and double barrier products

What we offer:

  • An Excel Add-In library and corresponding spreadsheet exhibiting the functionality
  • Documentation
  • Integration support
  • Interface layer for communication with your IT environment
  • Bespoke development

Please contact us to find out more.

 

Contact     Video      Presentation pdf

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