Mathematical Models for the Finance Industry

simply closer to the market

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Pricing and Risk Model Consulting

We implement and validate valuation and risk models, review and document models, independently value structured products. With our in-house software MFVal we model the FX Volatility Surface or Yield Curve based on standard market quotes. Our clients use our library for both model validation and in a live trading environment.

Our clients are banks, asset managers and software companies.

Sample Projects:

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Development of an FX volatility surface,

used by different banks for model validation and front-office pricing

Front-office documentation

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

Risk model review

for a large French bank as a requirement of the FED

Development and design of state-of-the art risk concepts

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

Implementation of a local volatility based pricing tool

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

Implementation of a multi curve framework

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

Backtesting of risk measures for counterpart default events

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

Independent model validation for Murex SLV model

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

Independent model review

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

Valuation and risk analysis

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

Development and Implementation

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

Survey on volatility as investment

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

A statistical survey and simulation

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

Independent vetting of FX structured products

 for a US based corporate advisory firm

Syllabi and test question database

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

Implementation of pricing, hedging and backtesting tools

 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

 A statistical survey and simulation of the performance of funds with and without guarantee for Franklin Templeton

Development and implementation of a tool to price exotic products like discretely monitored partial lookback options for a hedge fund in London

A statistical survey and simulation of the performance of various funds-linked retirement provision plans with guarantees (Riesterrente) for EURO-Magazin

Contact us if you want solutions on our FX Options Products, Consultation on Pricing & Risk Model and Expert Witness/Conflict Resolution Services.