Mathematical Models
for the Finance Industry

simply closer to the market

„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.“

 

Expert Witness / Conflict Resolution

For many years, several courts and law-firms have used our conflict resolution service, independent expert reports and expert witness services, specialized in derivatives, structured products and long-term investment plans. We are unique as we combine academic rigor with capital markets experience.

Our Services:

Portfolio analysis (also intra-day)
Quantification of Losses
Sourcing and processing of market data
Product classification, ISDA, documentation of OTC transactions
Explanation of market standards: valuation, trading, back-office, risk advisory
Explanation of functionality of trading and risk management systems
Validation of financial market patents
Project coordination
Quality assessment of scientific project proposals

Current projects:

Expert witness at arbitration on the Philippines

between the national bank and an Australian software vendor about the introduction of its treasury management application, (2017)

Expert Witness at Commercial Court Singapore

about the force-close and risk advisory quality of a portfolio with more than 500 exotic options.
(2013-2017)

Expert at Commercial Court Vienna

for the case of the City of Linz against BAWAG about the Swap 4175.
(2014-2017)

Completed Projects:

Completed projects:

Conflict resolution between a large German retail bank and a rating agency concerning a valuation of an equity basket linked certificate, 2007.

Expert report on SPAN (Standard Portfolio Analysis of Risk) and its application to a large portfolio of futures and options in several asset classes, Netherlands, 2010.

Expert witness at the Commercial Court London for a force-close of a portfolio of exotic currency derivatives; expert for Clifford Chance, London, 2010-2011.

Expert report for a patent of automated calculation of bid-offer prices of exotic currency options, for Quinn Emanuel Urquhart & Sullivan, LLP, New York, 2011.

Expert witness at SIAC (Singapore International Arbitration Center) for force-close and quality of risk advisory concerning a large portfolio of exotic options and structured products (Kikos, Tarfs, Accumulators), 2011-2013.

Expert report on the project „implied volatility surfaces, local volatility models and low dimensional hedging strategies for arithmetic and geometric baskets“ for Natural Sciences and Engineering Research Council of Canada, 2012.

Expert witness at the Commercial Court London in an 8 billion USD case on ISDA-classification and risk calculations for FX target forwards and other derivatives, expert to Travers Smith, 2012-2013.

Expert witness at the Commercial Court London for the valuation of Nikkei index options after the Lehman bankruptcy, expert for Taylor Wessing LLP, 2013-2014.

Public trustee on non-life insurance contracts, statistical verification of the valuation procedure and comparison to German standards, 2013-2014.

Expert report on portfolio optimization of a derivatives portfolio of the city of Salzburg in connection with a law suit, 2014.

Expert report for the Commercial Court Munich on the valuation of interest rate swaps and self-quanto swaps, 2015.

Expert report on the promotion of a faculty member with assessment of the research work (performance of option pricing models) for the American University of Sharjah, United Arab Emirates, 2015.

Expert report on the project “robust numerical schemes for pricing of selected options under various market conditions” for the Grant Agency of the Czech Republic, 2015.

Expert report on the change of law for municipalities‘ loans in foreign currency for the Ministry of Inner Affairs and Sports of the state of Hessen, 2015

Expert witness at the court of Salzburg supporting the cross examination of the expert report of the prosecutor concerning the transfer of structured interest rate swaps from City of Salzburg to the State of Salzburg (Salzburg financial scandal), 2017

Conflict resolution

 

 

 

 between a large German retail bank and a rating agency concerning a valuation of an equity basket linked certificate, 2007.

Expert report on SPAN (Standard Portfolio Analysis of Risk)

 and its application to a large portfolio of futures and options in several asset classes, Netherlands, 2010.

Expert witness at the Commercial Court London

 for a force-close of a portfolio of exotic currency derivatives; expert for Clifford Chance, London, 2010-2011.

Expert report for a patent of automated calculation

 of bid-offer prices of exotic currency options, forQuinn Emanuel Urquhart & Sullivan, LLP, New York, 2011.

Expert witness at SIAC (Singapore International Arbitration Center)

 for force-close and quality of risk advisory concerning a large portfolio of exotic options and structured products (Kikos, Tarfs, Accumulators), 2011-2013.

Expert report

 on the project „implied volatility surfaces, local volatility models and low dimensional hedging strategies for arithmetic and geometric baskets“ for Natural Sciences and Engineering Research Council of Canada, 2012.

Expert witness at the Commercial Court London

 in an 8 billion USD case on ISDA-classification and risk calculations for FX target forwards and other derivatives, expert to Travers Smith, 2012-2013.

Expert witness at the Commercial Court London

 for the valuation of Nikkei index options after the Lehman bankruptcy, expert for Taylor Wessing LLP, 2013-2014.

Public trustee on non-life insurance contracts,

statistical verification of the valuation procedure and comparison to German standards, 2013-2014.

Expert report on portfolio optimization

 of a derivatives portfolio of the city of Salzburg in connection with a law suit, 2014.

Expert report for the Commercial Court Munich

 on the valuation of interest rate swaps and self-quanto swaps, 2015.

Expert report on the promotion of a faculty member

 with assessment of the research work (performance of option pricing models) for the American University of Sharjah, United Arab Emirates, 2015.

Expert report

 on the project “robust numerical schemes for pricing of selected options under various market conditions” for the Grant Agency of the Czech Republic, 2015.

Expert report

 on the change of law for municipalities‘ loans in foreign currency for the Ministry of Inner Affairs and Sports of the state of Hessen, 2015

Expert witness at the court of Salzburg

 

supporting the cross examination of the expert report of the prosecutor concerning the transfer of structured interest rate swaps from City of Salzburg to the State of Salzburg (Salzburg financial scandal), 2017