MathFinance Consulting Services

Our team of financial engineers provides consulting services for the financial industry: banks, insurance, software houses, other consultants. We specialize in Foreign Exchange Options, Equity Derivatives, Long-term investment plans. Our key expertise is the combination of financial modeling using high-end methods from stochastics and numerics, market experience in Front Office financial engineering and our strong IT skills including C++, Mathematica, Visual Basic, Python, Perl, PHP, R. We offer consulting in your company and also develop software or studies in our premises in Waldems (Germany), Frankfurt (Germany).

Sample Consulting Projects

In the past we have delivered:

1. An FX exotic option pricing library (coded in C++, available as DLL, XLL, SO) with front ends in
   • Excel,
   • the strategy pricer of ICY software, a leading FX software provider in Paris, France,
   • our online calculator.
   Many banks and treasury desks all over Europe use this library.
2. A tailor-made pricing library for live quotes of FX bonus certificates for a leading bank in Germany
3. An implementation of a local volatility based pricing tool using finite differences for exotic equity derivatives for a large bank in Germany
4. A back-testing environment for a leading Bank in Germany
5. An Excel/VBA tool to price exotic products like discretely monitored partial lookback options for a hedge fund in London
6. An Excel/VBA tool to price shout FX forwards for a large consulting company in Hong Kong
7. A statistical survey and simulation of the performance of funds with and without guarantee for Franklin Templeton.
8. A statistical survey and simulation of the performance of various retirement savings plans for DWS and AXA
9. A statistical survey and simulation of the performance of various funds-linked retirment provison plans with guarantees (Riesterrente) for EURO-Magazin.
10. An independent valuation of an alti-plano style equity basket certificate issued by a large bank in Germany. This was done to rule out bad rumors of the product that had appeared in the media.
11. Many years (since 2000) of Germany's best annual quant conference
12. Regular training courses both public and in-house throughout the globe

Ongoing Projects

We are currently working on

1. An independent Monte Carlo pricing engine that can price any exotic in many models including jump diffusions, Levy processes, local volatility models, stochastic volatility models. This allows us to run independent valuation. This service is ready. Please contact us.
2. A pricing library for interest rate swaps, caps, floors
3. A stable FX smile surface generator based on brokers' quotes
4. A validation engine for hybrid local-stochastic volatility models
5. A discussion forum and open source platform for the FX smile surface
6. A general simulation tool to analyse investment plans

Our Network

We can help you with the independent valuation of any financial product, from model development to implementation. Our key expertise is in Foreign Exchange and long-term investment plans. However, we also cover other markets, and: if we can't do it, we know the people who can, and we will be happy to provide you solutions through our large global network of partners, which includes

1. PricingPartners, Paris
2. Fintegral AG, Switzerland
3. QuantZ Capital Management LLC, New York

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