Pricing and Risk Model Consulting

of equity derivatives models for a large German bank as a requirement of ECB

for a large French bank as a requirement of the FED

 for OTC FX, cross currency and interest rate swaps for a large German Exchange

using finite differences for exotic equity derivatives for a large bank in Germany

 incorporating OIS discounting, cross-currency and tenor basis for a large German bank

and developing and implementing tests for establishing an regression supported Monte Carlo method for counterpart credit risk purposes for a tier 1 investment bank in London, also covering preparation of documents, model description, test criteria and test framework for submission to model validation

 by our own independent implementation, verifying correctness, numerical stability and smoothness of Greeks including reports in Risk Magazine and Derivatives Week

 of Murex logical space (interpolation of the FX volatility surface)

 of embedded currency exchange options in roll-over loans for a German Landesbank

 of a tailor-made pricing library for live quotes of FX bonus certificates for a leading bank in Germany

 – crash protection using calendar spreads of variance swaps for Lupus alpha Asset Management

of the performance of various retirement savings plans for DWS and AXA.

 for a US based corporate advisory firm

 for the modules FX/FX options and advanced derivatives of the ACI-Diploma

 for Currency, Equity and Interest Rate Derivatives, including model development, prototyping, processing of market data and integration in risk management systems, e.g. Murex, Front Arena