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
- 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.
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!