Uwe Wystup Born on the 29th of September 1967 in Frankfurt am Main, Germany. Current Position (since Nov 2003):  Managing Director MathFinance AG Schiesshohl 19 65529 Waldems Germany

Curriculum Vitae

Core skills in the current position

• managing quantitative projects for the financial industry
• software development in the area of FX options and structures, asset management
• derivatives risk advisory service
• networking
• organizing training courses and conferences

Core skills in the financial industry

• complete understanding of Foreign Exchange Options markets, specially exotic options and structured products
• structuring tailor made solutions in FX linked with other market segments
• developing new products
• creating pricing and hedging tools for sales and structurers
• internal and external risk and product advisory
• bank wide deals management of structured products
• communication with all involved parties such as clients, financial engineering, trading, sales, middle office, back office, legal, tax and balance, compliance, credit, management
• internal and external seminars on options and financial engineering

Education

May 1993 Diplom in mathematics at Goethe-University in Frankfurt, Germany Thesis: A diffusion model for the term structure of interest rates

Dec 1997 Ph. D. in mathematical finance at Carnegie Mellon University, Pittsburgh, USA Thesis: Valuation of exotic options under short-selling constraints as a singular stochastic control problem

Employment History in the Financial Industry

Academic Assignments

Military Service

Awards

• Aug 08-Dec 08 Fulbright Scholarship for the visiting professorship at Carnegie Mellon University
• January 99 Most outstanding poster presented on the workshop on probability and finance, The Fields Institute, University of Toronto, Canada
• Aug 93-Dec 97 Stipend and teaching assistantship at Carnegie Mellon University, Pittsburgh
• May 93 Stipend for research in mathematics by Willkomm-Foundation, Frankfurt, Germany

Extracurricular Activities

• Member of the Committee "Markets in Financial Instruments Directive (MiFID)" at B. Metzler seel. Sohn & Co. KGaA
• Member of Asset Management Advisory Committee of the Foundation "Remembrance, Responsibility and Future"
• Initiator and member of the board of directors of Frankfurt MathFinance Institute (Goethe-University)
• Referee for various Journals including the Journal of Applied Mathematics and Stochastic Analysis, Quantitative Finance, Annals of Applied Probability, Applied Mathematical Finance, Management Science
• Editor of the Springer journal Annals of Finance
• Organ player for church services

Books

• Foreign Exchange Risk, joint with  Jürgen Hakala, February 2002, Risk Publications, London.
• Wirtschaftsmathematik II, 2004, joint with Heinz Cremers and Thilko Lünemann. Studienbrief für Bachalor of Finance and Management, Frankfurt School of Finance & Management.
• Stochastik, 2004, joint with Heinz Cremers and Thilko Lünemann. Studienbrief für Bachalor of Finance and Management, Frankfurt School of Finance & Management.
• FX Options and Structured Products, November 2006, Wiley, England.

Journal

• The MathFinance Newsletter, established November 1999

Web Page

• MathFinance - the bridge between investment banking and academic research in mathematical finance (http://www.mathfinance.com)

Articles

1. Vanna-Volga Pricing (pdf), Contribution to Encyclopedia of Quantitative Finance, Wiley. June 2008.
2. Foreign Exchange Symmetries (pdf), Contribution to Encyclopedia of Quantitative Finance, Wiley. June 2008.
3. Quanto Options (pdf), Contribution to Encyclopedia of Quantitative Finance, Wiley. July 2008.
4. Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen (pdf, slides in German), joint with Andreas Weber (MathFinance AG), Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. August 2008.
5. Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen (pdf, slides in German), joint with Andreas Weber (MathFinance AG), Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. August 2008.
6. Closed Formula for Options with Discrete Dividends and its Derivatives, joint with Carlos Veiga, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. May 2008.
7. On the Cost of Poor Volatility Modeling: The Case of Cliquets, joint with Fiodar Kilin and Morten Nalholm, Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. February 2008.
8. Was kostet die Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen (pdf, slides in German, slides in English), joint with Christoph Becker, Research Report No 8, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. January 2008.
9. Instalment Options: A Closed-Form Solution and the Limiting Case (print version, screen version, slides), joint with Christoph Kühn and Susanne Griebsch, Research Report No 5, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. February 2007.
10. Die Weltformel des Kapitalismus, DIE ZEIT, Nr 22, 24. June 2006, p.39. Article written by Robert von Heusinger, joint with Uwe Wystup. The corresponding Excel Sheet is here
11. Nichts für Einzelkämpfer - über Investmentbanker und was sie heute wissen müssen, Staufenbiel Finanzwelt und Beratung, 2005, p.12.
12. On the Cost of Delayed Currency Fixing Announcements (paper in pdf format - slides in pdf format - handouts in pdf format - Talk audio file in MP3 format), joint with Christoph Becker, Working Paper. 2005. To appear in Annals of Finance
13. The Heston Model and the Smile, joint with Rafal Weron, Chapter contribution to the book Statistical Tools for Finance and Insurance, eds. Pavel Cizek, Wolfgang Haerdle, Rafal Weron. 2004. (e-book)
14. Efficient Computation of Option Price Sensitivities for Options of American Style (pdf), joint with Christian Wallner, Wilmott. 2004.
15. The market price of one-touch options in foreign exchange markets (pdf), Derivatives Week Vol. XII, no. 13, London 2003.
16. Valuation of options in Heston's stochastic volatility model using finite element methods, joint with Thomas Apel and Gunter Winkler (pdf), Foreign Exchange Risk, Risk Publications, London 2002.
17. How the Greeks would have hedged correlation risk of foreign exchange options (pdf), Wilmott Research Report August 2001. Also in Foreign Exchange Risk, Risk Publications, London 2002.
18. Dealing with dangerous digitals, joint with Steven E. Shreve and Uwe Schmock (pdf), Foreign Exchange Risk, Risk Publications, London 2002.
19. Efficient computation of option price sensitivities using homogeneity and other tricks, joint with Oliver Reiss (pdf), The Journal of Derivatives Vol. 9 No. 2, Winter 2001, also in Foreign Exchange Risk, Risk Publications, London 2002.
20. Monte Carlo simulations and variance reduction techniques, joint with  Jürgen Hakala, Bereshad Nonas and Tino Senge, Foreign Exchange Risk, Risk Publications, London 2002.
21. Quasi random numbers and their application to pricing basket and lookback options, joint with  Jürgen Hakala, Tino Senge and Andreas Weber, Foreign Exchange Risk, Risk Publications, London 2002.
22. Vanilla options, Foreign Exchange Risk, Risk Publications, London 2002.
23. Volatility management, Foreign Exchange Risk, Risk Publications, London 2002.
24. The pricing of first generation exotics, joint with  Jürgen Hakala and Ghislain Perissé, Foreign Exchange Risk, Risk Publications, London 2002.
25. Binomial trees in one and two dimensions, joint with  Ingo Schneider, Foreign Exchange Risk, Risk Publications, London 2002.
26. Fast Fourier method for the valuation of options on several correlated currencies, joint with  Annette Andreas, Bernd Engelmann and Peter Schwendner, Foreign Exchange Risk, Risk Publications, London 2002.
27. Heston's stochastic volatility model applied to foreign exchange options, joint with  Jürgen Hakala, Foreign Exchange Risk, Risk Publications, London 2002.
28. A model for long term foreign exchange options, joint with  Anna Davveta, Gian Marco Felice and Jürgen Hakala, Foreign Exchange Risk, Risk Publications, London 2002.
29. Valuation of exotic options under short selling constraints, joint with Steven E. Shreve and Uwe Schmock (pdf), Finance and Stochastics VI, 2 (2002)
30. Making the most out of Multiple Currency Exposure: Protection with Basket Options, joint with Jürgen Hakala (pdf). The Euromoney Foreign Exchange and Treasury Management Handbook 2002. Adrian Hornbrook.
31. Foreign Exchange Derivatives, joint with Jürgen Hakala (pdf). The Euromoney Foreign Exchange and Treasury Management Handbook 2001. Adrian Hornbrook.
32. Valuation of exotic options under short selling constraints as a singular stochastic control problem (pdf), PhD Thesis, Carnegie Mellon University, 1998.

Media

1. Gebühren fressen die staatlichen Zulagen auf, Die Welt, 18. August 2008. Artikel von Barbara Brandstetter.
2. Die Riester-Räuber, Süddeutsche Zeitung, S. 23, 23. Juli 2008. Artikel von Markus Zydra.
3. Wetten auf Sommerlöcher, Süddeutsche Zeitung, Nr. 129, Derivate & Zertifikate, S. 38, 5. Juni 2008. Interview von Andrea Hessler.
4. Arbeite nie für die Banken, GoldSeiten.de, 13. April 2008. Artikel von Manfred Gburek.
5. Nehmen Sie Ihre Finanzen endlich selbst in die Hand, GoldSeiten.de, 16. März 2008. Artikel von Manfred Gburek.
6. Sicherheitsprodukte: Enttäuschung garantiert, Wirtschaftsblatt, 8. März 2008. Artikel von Hans-Jörg Bruckberger und Christian Kreuzer.
7. Bremse getreten, Wirtschaftswoche, 3. März 2008, page 122. Article written by Heike Schwerdtfeger.
8. Angst wird zum Renditefresser, Financial Times Deutschland, 1. Februar 2008, page 26. Article written by Andreas Preissner.
9. Garantien kosten Rendite, Börse Online, 15. November 2007. Article written by Tobias Kaiser.
10. Garantiert teuer, Handelsblatt, 26. Oktober 2007. Article written by Frank Wiebke.
11. Garantien: Langfristig zu teuer erkaufte Sicherheit , Pressemitteilung von Franklin Templeton, 25. Oktober 2007.
12. Garantiert Überflüssig, Portfolio International, September 2007, p.30. Article written by Cora Gutierrez based on an interview with Uwe Wystup.
13. Angstige beleggers betalen hoge prijs, Financieele Dagblad, 9 of June 2007, p.10. Article written by Frits Conijn based on an interview with Uwe Wystup.
14. Anlegerschützer beklagen Wildwuchs bei Zertifikaten, Handelsblatt, 6. Februar 2007, p.33. Article written by Ralf Drescher.
15. Es war einmal ein fairer Preis, DIE ZEIT, Nr 6, 1. Februar 2007, p.33. Article written by Claas Pieper.

Talks

1. Indian Institute of Technology (Kharagpur), August 1995, Option pricing with binomial trees
2. Goethe-University (Frankfurt), May 1998, Valuation of exotic options under short selling constraints as a singular stochastic control problem
3. Humboldt-University (Berlin), Workshop on Mathematical Finance, Dec 4-6, 1998, Dealing with dangerous digitals
4. Gutenberg-University (Mainz), Dec 1998, Dealing with dangerous digitals
5. Carnegie-Mellon-University (Pittsburgh), Computational Finance Research Seminar, Feb 2 1999, How the Greeks would have hedged correlation risk of foreign exchange options
6. Allahabad Bank (Calcutta), July 1999, What is mathematical finance?
7. Weierstrass-Institute (Berlin), Colloquium, May 31 1999, Aspects of symmetry, homogeneity and duality in the Black-Scholes option pricing formula and their relevance for changing from national currencies to the Euro
8. Technical University (Munich), Nov 12 1999, Dealing with dangerous digitals
9. Mexican Academy of Sciences (Mexico City), Foro: Matematicas Financieras, Dec 2-3 1999. Computational aspects of option valuation in practice of daily trading: correlation, Greeks, hedge cost supplements
10. International University (Bruchsal), Colloquium, March 13 2000, Financial markets: quantitative aspects
11. Technical University (Vienna), Adaptive Friday, March 14 2000, Computational aspects of option valuation in practice of daily trading
12. Mathematical Research Center (Oberwolfach), Stochastic Analysis in Finance and Insurance, May 7-13 2000, Efficient computation of option price sensitivities using homogeneity and other tricks
13. National Institute of Management (Calcutta), July 11 2000, Introduction to mathematical finance
14. Konstanz University, workshop on mathematical finance, Oct 5-7 2000, Efficient computation of option price sensitivities using homogeneity and other tricks
15. RISK training course on pricing, hedging and trading exotic derivatives, London, Dec 7-8, and New York, Dec 11-12 2000, Ensuring efficient hedging of barrier options
16. RISK training course on interest rate modelling, London, May 24-25 2001, Long Term FX Options: Model and Calibration
17. Hochschule für Bankwirtschaft (Frankfurt), Dec 2000, How the Greeks would have hedged correlation risk of foreign exchange options
18. Stern School of Business at New York University, Financial Engineering Associates Colloquium, Dec 11 2000, Trading floor quants - How quantitative analysts interact with traders, structurers and marketers
19. Frankfurt MathFinance Colloquium at Goethe University, Workshop on Stochastic Volatility, May 18 2001, Heston's stochastic volatility model applied to foreign exchange options
20. The Financial Options Research Centre, University of Warwick, UK, Sept 10-11 2001, Heston's stochastic volatility model applied to foreign exchange options
21. Hochschule für Bankwirtschaft (Frankfurt), Oct 5 2001, Introduction to Monte Carlo Simulation and its application to pricing derivatives
22. Hochschule für Bankwirtschaft (Frankfurt), Oct 26 2001, Neue Quantitative Methoden im Bereich Devisenoptionen
23. Center of Finance and Risk Management, University of Mainz, Germany, Dec 5 2001, Heston's stochastic volatility model applied to foreign exchange options
24. Hochschule für Bankwirtschaft (Frankfurt), Dec 15, 19 and 20 2001, Mathematik für Finanzderivate, joint with Heinz Cremers, Martin Hellmich, Xuyen Truong and Wolfgang Schmidt
25. Financial Engineering Lab, University of Twente, The Netherlands, Jan 18 2002, Stochastic volatility models applied to foreign exchange options
26. Joint Colloquium of the Universities of Giessen and Marburg, Germany, Feb 5 2002, Stochastic volatility models applied to foreign exchange options
27. RISK training course on pricing, hedging and trading exotic derivatives, London, Feb 11-12 2002, New York March 4-5 2002 Ensuring efficient hedging of barrier options
28. Columbia University, New York, March 1 2002, Stochastic volatility models applied to foreign exchange options
29. Frankfurt MathFinance Workshop, April 3-5 2002, Structured products and how banks are making money
30. Second World Congress of the Bachelier Finance Society, Agia Pelagia (Crete), June 12-15 2002, Stochastic volatility models applied to foreign exchange options
31. McMaster University, Hamilton (Canada), February 25 2003, Pricing one-touch FX options up to the market - a comparison of the trader's rule of thumb and stochastic volatility models
32. Technical University, Munich (Germany), April 25 2003, Pricing one-touch FX options up to the market - a comparison of the trader's rule of thumb and stochastic volatility models
33. Goethe University, Frankfurt (Germany), May 9 2003, How the Greeks would have hedged correlation risk in foreign exchange options markets
34. Oxford University, England, June 25 2003, Hedging correlation risk in foreign exchange options markets
35. RISK training course on volatility forecasting and modelling techniques, London, June 26-27 2003 Applying stochastic volatility models to pricing FX exotic options up to the market
36. Wie verdienen die Banken Ihr Geld European Banking and Insurance Fair, Frankfurt, Oct 28 2003
37. FX exotics and the relevance of computational methods in their pricing and risk management - 3 examples about accumulative forwards, instalments and Greeks. Winter school on Mathematical Finance, Lunteren, Dec 17-19 2003
38. Stochastische Volatilität - Motivation und Anwendung auf die Bewertung exotischer Optionen Antrittsvorlesung, Hochschule für Bankwirtschaft, Frankfurt, Jan 14 2004
39. FX Instalment Options - We compare pricing techniques, present a new closed form solution and analyze the limiting case. Joint work with Susanne Griebsch and Christoph Kühn, Goethe University, Risk Europe, London, April 28 2004
40. FX Instalment Options - We compare pricing techniques, present a new closed form solution and analyze the limiting case. Joint work with Susanne Griebsch and Christoph Kühn, Goethe University, 3rd World Congress of the Bachelier Finance Society, Chicago, July 24 2004
41. Stochastische Volatilität vs. Traders’ Rule of Thumb - Bewertung exotischer Optionen im Vergleich, University of Trier, July 21 2005
42. The Impact of FX Options on the Spot Market and the Cost of Delayed Currency Fixing Announcements - FX & MM Conference, Garmisch-Partenkirchen, March 15-18 2006
43. On the Price of a Guaranty - Derivatives: A Need 4U2, Amsterdam, June 7 2007
44. On the Price of a Guaranty - Invited Talk at the Mid-Term Conference on Advanced Mathematical Methods for Finance, September 17-22, 2007
45. Was kostet der Vollkaskoschutz den deutschen Anleger - Vortrag auf der Morningstar Investment Konferenz Wiesbaden, November 7, 2007
46. On the Price of a Guaranty - Invited Talk at the Wealth Management & Private Banking 2007, Institute for International Research (I.I.R) B.V. Amsterdam, November 27, 2007
47. Ist die Einführung der Riester-Rente vor allem ein Geschenk an die Finanzindustrie? - Gebühren vs. Zulagen, Investmentansätze, Verbraucherinformationen. Frankfurt School im Dialog mit Walter Riester, 12. März 2008
48. Pricing of First Generation Exotics with the Vanna-Volga Method: Pros and Cons. Keynote at Workshop on Computational Methods for Pricing and Hedging Exotic Options , Mathematics Research Institute, University of Warwick, July 11-12 2008