Company Performance Metrics
We are a boutique financial service firm specializing in quantitative analysis and risk management. We combine the power of traditional structured finance with modern high performance computing in order to deliver unique solutions to our customers. Our clients range from asset management firms to industrial, non-financial companies. Our services
include:
DERIVATIVES VALUATION
Modeling and pricing of complex derivatives such as convertible bonds, mortgage backed securities, variance swaps, credit default swaps, collateral debt obligation
Performing Monte Carlo simulation to value executive stock options and real options
Construction of yield curves
General derivative related consulting services
TRADING AND RISK MANAGEMENT
Risk analytics for derivatives books such as calculation of the Greeks, Value at Risk
Implementation of advanced options pricing models: stochastic volatility, local volatility
Development of multi-factor stochastic models for volatility and commodity related products
Design and implementation of database for financial data and analytics
Developing trading and hedging strategies for equity and commodity portfolios
