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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++, C#, Java, 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).

In addition to our specialist areas, we also cover other markets, ensuring that you receive state-of-the-art solutions through our large global network.

We can help you with the independent valuation of any financial product, from model development to implementation.

We have a long-term experience in expert witness services and independnet expert reports. Our work ranges from intra-day backdated valuation and hedging analysis, explaining product features and risk, reasons for close-out, market classification and financial patents.

Ongoing Projects

We are currently working on:

  • 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 Projects

In the past we have delivered

  • 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)

  • Treasury management

    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++)

  • Asset management

    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, used by many banks and treasury desks all over Europe. It is coded in C++, and available as DLL, XLL, SO. It has front ends in:
  • A tailor-made pricing library for live quotes of FX bonus certificates for a leading bank in Germany
  • An implementation of a local volatility based pricing tool using finite differences for exotic equity derivatives for a large bank in Germany
  • A back-testing environment for a leading Bank in Germany
  • An Excel/VBA tool to price exotic products like discretely monitored partial lookback options for a hedge fund in London
  • An Excel/VBA tool to price shout FX forwards for a large consulting company in Hong Kong
  • A statistical survey and simulation of the performance of funds with and without guarantee for Franklin Templeton.
  • A statistical survey and simulation of the performance of various retirement savings plans for DWS and AXA
  • A statistical survey and simulation of the performance of various funds-linked retirment provison plans with guarantees (Riesterrente) for EURO-Magazin.
  • 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.
  • Many years (since 2000) of Germany's best annual quant conference
  • Regular training courses both public and in-house throughout the globe

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.

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