Research

Our research develops practical insights and tools that apply our expertise and technology to prevailing industry challenges. We hope this is useful, and please reach out to us if you would like to explore these topics any further.

Research

Business process engineering and data organisation, Technology re-platforming,

An outline of the next 10 years in risk management. The second part of this article explains what the most advanced practitioners are doing in the realm of…

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Research

Quantitative algorithmic and financial engineering,

Discretely monitored barrier options under Lévy models, including single and double barrier options and first-touch digitals, as well as CDS and defaultable…

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Research

Quantitative algorithmic and financial engineering,

Analysis of a Dodd-Frank margin-financing solution for cross product CVA using revolving lines of credit.

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Research

Machine learning and AI, Technology re-platforming, Data science,

Portfolio optimisation is computationally intensive and has potential for performance improvement – GPU is a natural fit for this. This paper examines the…

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Research

Business process engineering and data organisation, Technology re-platforming,

Following the billions of dollars in subprime writedowns, banks continue to look at how best to organise the risk management function. Steve White makes a…

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Research

Quantitative algorithmic and financial engineering,

This paper describes the calculation of the asymptotics of barrier options and one-touch options near the barrier for wide classes of Lévy processes. In the…

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Research

Quantitative algorithmic and financial engineering, Business process engineering and data organisation, Technology re-platforming,

Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in…

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Services,

The key to maximising the potential of pricing and risk management on the Murex platform is the mastery of the models – not in isolation, but within the context…

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