Indicative FSP

Developing a Trading Tool for Options on Euro Bobl, Euro Bund and Euro Schatz Futures

The scope of the project is dual. The first part is to analyze those theoretical financial and mathematical tools that focus on the calculation of the implied volatility of Euro Schatz, Euro Bobl and Euro Bund Future prices from the market prices of Fixed Income Future Options traded in the Eurex Exchange, as well as the Greeks of the respective options. In the second part, the aforementioned analysis is used as a basis in order an algorithm to be developed that, given the specific inputs, will have as output the whole volatility structure, at a specific date, as well as the Greeks. The algorithm that has developed is translated to a program language in order to be used by any end user.

Current Distinctions & Awards