Derivative Pricing Consulting and Advisory Services

Financial derivative valuation requires advanced mathematical skills, coding ability, and financial experience.

Whether you’re looking for a single algorithm or sizable software development, we offer professional cloud-based PhD derivative pricing consulting and advisory services, including

  • Equity derivatives
  • FX / Forex derivatives
  • Interest rate derivatives
  • Asian options, barrier options, local volatility models and exotic derivatives
  • Bitcoin and cryptocurrency derivatives
  • Calculation of equity and interest rate volatility surfaces from market data
  • Calculation of greeks including delta, gamma, vega and theta.

We write code scripts or design derivative valuation software to price everything from vanilla options to the exotic derivatives, including:

  • Vanilla Black-Scholes for calls and puts
  • Forwards and futures
  • Interest rate derivatives like swaps, caps and floors
  • Local volatility and stochastic volatility models
  • American options and exotic options with callability or early exercise optionality
  • SABR models
  • Fixed interest derivatives like bond futures
  • Derivatives on baskets
  • Knock in / knock out barrier options and window barrier options. See our article about barrier options and volatility/interest rate term structure. Also, be sure to see the paper by KS Moon for improving the efficiency of Monte Carlo pricing using a Brownian bridge.
  • Fixed and variable coupons
  • Warrants
  • Pnotes (promissory notes)
  • Dividend futures

We use a variety of derivative pricing methods including Monte Carlo, Black-Scholes, Finite Difference, and Longstaff-Schwartz. For interest rate derivatives, see the SABR volatility model.

Also check out our article on converting volatility surfaces from moneyness to delta using an iterative procedure.

Need a cloud-based PhD quant to solve all of your derivative pricing problems? Contact us today!