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The operational and physical practicalities of many commodities products has driven developments in valuation and risk management. Our clients' models require ongoing investment in their features, performance, documentation, validation, industrialisation and standardisation.

We add value by removing the burdens on our clients’ financial engineering resources.

Our services include:

  • Model development / re-engineering for stress testing, market and credit risk simulations and valuations.
  • Validation, calibration and back testing of models for internal or regulatory consumption.
  • Standardsation of risk factors and taxonomies to enable enterprise-wide risk aggregation.
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

Portfolio optimisation

Portfolio optimisation is computationally intensive and has potential for performance improvement – GPU is a natural fit for this. This paper examines the effects of evaluating large numbers of proposed solutions in parallel for use with Direct Search optimisation. Portfolio optimisation was published in Wilmott magazine, January 2013 issue. By Niels Stchedroff

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