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While financial analytics are the core competency of many of our clients, our role is in facilitating a broader usage – enabling models that have been developed on a spreadsheet to run on a server.

If strategies need to be embedded in a strategic system – for hedging, optimisation or replication – then we will provide a first-class solution. If algorithms are in use, we will validate their behaviour on a one-off or ongoing basis.

Our specialisms include:

  • Performance measurement and attribution.
  • Portfolio replication and optimisation.
  • Structured frameworks for back testing and validation, including behavioural modelling for algo-trading platforms.
  • Quantitative impact studies for new regulations / alternative jurisdictions.
  • EUA methodology.
White paper

Pricing discrete barrier options and credit default swaps under Lévy processes

Discretely monitored barrier options under Lévy models, including single and double barrier options and first-touch digitals, as well as CDS and defaultable bonds. By Marco de Innocentis and Sergei Levendorskiia
White paper

Optimal funding strategies for counterparty credit risk liabilities

Analysis of a Dodd-Frank margin-financing solution for cross product CVA using revolving lines of credit. By Claudio Albanese, Giacomo Pietronero and Steve White

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