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
Breakable Swaps
Swaptions
Bond Futures
FX TARFs
CDS
Barrier Options
C++ / Python for Finance
Integer Traps in Calculating Portfolio Holdings
Type Deduction in Pricing
Financial Mathematics
Dupire Local Volatility