Support We Offer
Derivatives modeling and valuation
Risk management
VaR modeling
Yield curve dynamics
Volatility and volatility term structure modeling
Scenario analysis and stress testing
Monte Carlo simulations
Pricers, including Excel-based pricers with C++ libraries
Excel, C# GUIs, models, query builders, analyzers, simulators, and optimizers
Database/solution architecting, testing, and auditing
Support We Offer
Derivatives modeling and valuation
Risk management
VaR modeling
Yield curve dynamics
Volatility and volatility term structure modeling
Scenario analysis and stress testing
Monte Carlo simulations
Pricers, including Excel-based pricers with C++ libraries
Excel, C# GUIs, models, query builders, analyzers, simulators, and optimizers
Database/solution architecting, testing, and auditing
How we are different
Off-the-shelf models
Tried and tested simulation engine
Expertise in derivatives analytics
Quant skills - market knowledge, mathematical modeling, and programming skills
What we have done
Derivative Structuring for a Europe Based Investment Bank
What we are proud of
$350k
in annualized cost savings
5X
increase in annual bespoke hedging pitches
Our Perspective on Derivatives Modeling
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