Seminar (City) - Iain Clark - Efficient Methods for Simulation of FX Vol Surface
Details
We are delighted to announce to you, the Thalesians, that we have negotiated a special deal with City University Club, an exclusive private members club in the heart of the City of London, conveniently located at 50 Cornhill, right next to the Bank of England, the Royal Exchange, the DLR and tube station. Come and join us for a lecture by Dr. Iain Clark at 18:30 preceded by a champagne reception from 18:00 and followed by drinks at the bar with Iain and our team!
Full title: Efficient Methods for Simulation of Foreign Exchange Volatility Surfaces
Abstract: This talk will introduce the fundamentals of the foreign exchange options market, in particular paying attention to the market conventions attached to volatility surface construction, which unlike other asset classes is parameterised by delta. This necessitates solving for strike for delta and building a volatility surface. We discuss the requirements of the strike from delta algorithm required, and compare numerical and computational performance of the standard root-finding approach with several alternatives. We shall illustrate goodness of fit in all cases with respect to historical calibration, using as our dataset an extensive time series of end-of-day volatility quotes for commonly traded FX pairs.
Speaker: Iain Clark is managing director and founder of Efficient Frontier Consulting Ltd. ( http://www.efficientfrontierconsulting.com ), a quantitative analytics and risk consultancy. He holds a PhD in applied mathematics from the University of Queensland and a MSc in financial mathematics from the Universities of Edinburgh and Heriot-Watt. He was former Head of FX and Commodities Quantitative Analysis at Standard Bank, Head of FX Quantitative Analysis at UniCredit and Dresdner Kleinwort, and has worked at Lehman Brothers, BNP Paribas, JP Morgan, CME Group and Byhiras. Iain is the author of Foreign Exchange Option Pricing: A Practitioner's Guide (Wiley, 2011) and Commodity Option Pricing: A Practitioner's Guide (Wiley, 2014). He is currently working with Scotiabank on XVA model development.