• Model development & implementation
• Independent valuation service / libraries
• Risk management
• Sales tools
• Market data validation, processing and feeds
• Integrating solution of our partners
• Model validation
• Best practice consulting
• Back-testing and simulation of investment strategies
• Portfolio optimization
• New market standards, e.g. OIS discounting, CVA
Our team of Financial Engineers provides consulting services to various segments of the financial industry including banks, insurance- and software houses as well as asset managers.
An excerpt from our current projects:
An independent Monte Carlo pricing engine that can price exotic in many models including jump diffusions, Levy processes, local volatility models, stochastic volatility models. This allows us to run independent valuation.
A pricing library for interest rate swaps, caps, floors
A stable FX smile surface generator based on brokers' quotes
A validation engine for hybrid local-stochastic volatility models
A discussion forum and open source platform for the FX smile surface
A general simulation tool to analyse investment plans
Sample past projects:
Independent model validation
-We validated Murex SLV model by our own independent implementation and checked for correctness, numerical stability, and smoothness of Greeks, evaluated the results statistically and documented them in a detailed report and supplementary files. Risk Magazine and Derivatives Week reported about our work.
-Python wrappers of our in-house C++ library allow calculation of values and risk parameters of large portfolios of derivatives.
Pricing, hedging, backtesting tools
-We regularly implement pricing, hedging and backtesting tools for Currency, Equity and Interest Rate Derivatives: from model development, prototyping, processing of market data, up to integration in risk management systems (Murex, Front Arena, etc.) (Technology: C++, java)
-How to value and hedge currency switching rights in long-term roll-over loans? Starting with a bank-wide survey and quantitative analysis, we developed a model from scratch and our prototype and report helped the management take a strategic decision about how to deal with such exotic loan-features in their future business. (Technology: Mathematica/python/C++)
-Our simulation and backtesting analysis showed how calendar spreads of variance swaps on stock indices can serve as a crash-protection overlay or as a volatility investment. (Technology: R, VBA)
An FX exotic option pricing library
• Independent expert reports and expert witness services by experienced practitioners with high academic credentials
• Reports of Foreign Exchange Options, Structured Products, Currency Related Swaps and Long-term investment plans
• Portfolio valuation to analyze its risk or reasons for a close-out
• Market data sourcing and preparation
• Explanations of systems, trading, structuring, sales and risk management
• Verification of financial patents
One of the most important decisions you will make with regards to the outcome of your case is the choice of an expert witness providing clear, robust and independent opinions. You need an expert who not only understands the particulars of your case but can also draw on extensive industry experience.
We have evidence experience both at the UK High Court of Justice and the Singapore International Arbitration Center.
Our team specializes in Foreign Exchange Options, Structured Products and long-term investment plans. We can provide you with an independent expert report that is credible and highly qualified. We can re-evaluate your portfolio, analyze its risk or reasons for a close-out. We can help you find out background information and can help you understand the workings of trading, structuring and sales and risk management.
Our current cases include:
•Expert report on a forced close-out of a portfolio of exotic FX derivatives with over 500 exotic options. Singapore 2013-2015
•Expert advisor to the court in Vienna (Austria) in the litigation of the city of Linz against BAWAG concerning the currency related Swap 4175.
•FX Derivatives Classification
•Financial markets patent verification/ Defense
•Detailed intraday hedge analysis of post close-out losses of a large FX Options portfolio
•Detailed analysis of a large portfolio of accumulators, KIKOs, TRFs, its leverage, inherent risks, margin threshold and reasons why it was closed out in the financial crisis.