Expertise

  • Full service C++ & Python application development.
  • Stochastic modelling, AI & algorithm development.
  • Rates, inflation, repo /borrow, forward, dividend and default probability curve construction. Event probability estimation. Correlation and volatility surface construction. Stochastic parameter model implementation and calibration.
  • Industrial grade fast intraday ISDA compliant x-asset (equity, rates, FX, crypto, commodities, credit, inflation) x-product (d1, vol, exo) pricing. PDE, martingale and machine learning based valuation.
  • Derivatives payoff scripting.
  • Independent Model Review (IMR).
  • Independent Price Verification (IPV).
  • Valuation adjustment (CVA, FVA, KVA).
  • Risk metrics (PFE, RWA, ES; drawdown, Sharpe), sensitivity Greeks & P&L attribution. Backtesting & scenario analysis.
  • Internal Rating Based Approach (IRB) for capital optimisation and accurate risk management.
  • IFRS 9 compliant financial instrument accounting.
  • Portfolio & book management, hedging & optimisation.

Engagement

To schedule a free 30 min consultation, please reach out on .

Knowledgebase

Machine Types


C++ / Python for Finance


Financial Mathematics