The SIAM conference
on Financial Mathematics and Engineering brings together
mathematical scientists, researchers and practitioners in finance
and economics to facilitate collaboration amongst these.
Alexander Toropov, Core Engineering Manager Tbricks, presented modern approaches and new tricks that we have practically applied in Tbricks' derivatives pricing. The 25-minute presentation was titled "Efficient Pricing of Vanilla and Exotic Options with Multiple Discrete Dividends using Finite-difference Method for Algorithmic Trading System". Despite the slightly academic title, the presentation contained many practical aspects as the theories presented are already used by many Tbricks customers.
Presentation abstract: We calculate prices of European, American, barrier, turbo, and Asian options with multiple discrete dividends. The framework is based on the finite-difference method for Black-Scholes equation. We apply analytical smoothing of final condition to improve properties of the numerical algorithm. The approach is efficient also for Asian options with dividends beyond and within the averaging period. It is implemented as a pricing application for algorithmic trading system and provides prices in real time.
If you would like to find out more, please feel free to contact Alexander Toropov.
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