DERIVATIVE VALUATION, QUANTITATIVE ANALYSIS




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, nonfinancial 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 multifactor 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

