Financial derivative valuation requires advanced mathematical skills, coding ability, and financial experience.
Many financial services firms have long relied on simplified derivative pricing models, due to the expensive of developing more accurate and sophisticated models. AI has accelerated development time to the point that even smaller firms can now take advantage of the best models available. Are you still using vanilla Black-Scholes, or approximate methods for Asian options? Interested in upgrading to local or stochastic vol models? Interested in adding market risk or XVA capability to your systems, or pricing more exotic derivatives? Talk to us about how we can help.
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
- Convexity corrections for swaps and FRAs
- 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.
- Adjoint algorithmic differentiation for fast Monte Carlo greeks
- XVA modelling and techniques for efficient calculation
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
- Using Neural networks to speed up option pricing
- 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 income derivatives like bond futures, or options on 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!