Valuation of Equity FX Instruments

This technical paper outlines the valuation methodologies for various Equity and FX instruments within the UnRısk framework. 

It begins with an analysis of vanilla equity options, detailing the use of both the Black-Scholes model and the Adaptive Integration technique for pricing. The paper expands to cover the valuation of vanilla FX options, equity barrier options, and FX barrier options, emphasizing the adjustments required for local volatility surfaces and the Heston model. In addition to pricing strategies, the paper delves into the calculation of the Greeks, which are crucial for hedging and risk management. These include delta, gamma, theta, vega, volatility convexity, and delta vega, providing a comprehensive framework for understanding the sensitivities of these financial instruments. The methodologies presented ensure robust and accurate pricing, taking into account the complexities of market conditions, including varying interest rates and volatilities.