Project examples

/see also blog articles to get more impressions/

Balance sheet modelling

    • Financial projections:
      • Project - startup, investment
      • cross border trading involves FX-risk, which we can estimate
    • Estimation of Risk attached to Receivables (credit risk)
    • Estimation of Risk due to fall of your market (business risk)

Contract Pricing, Risk of Portfolio

    • Risk/pricing models (e.g. FRTB models, Libor replacement or Brexit reallocation)
      • development, validations, system checks (data stream), documentation
    • Development of Risk Models (with link to risk limits), Capital, XVA

Realtime systems (e.g. for algotrading)

    • Realtime systems:
      • data feed, algorithmic interaction, like automatic trading bot
      • Price, various metrics monitoring
    • Validation of algorithmic trading chain (e.g. see EBA, PRA directives)
      • Algorithmic stability in response to external market signals, flash crash, disruption of data feed, positive (amplified feedback effects) etc etc
      • Checks of robustness of technical implementation
      • PnL generation (part of audit)
      • Black box backtesting

Big Data collection, analytics

  • Dedicated databases (Oracle, MySQL, HDF5, sqlite), structured data

Pricing of Derivatives, e.g. Structured products

  • payoff translation into the model. choice of underlying process suitable for specific asset class
  • starting from simplest approach (e.g. Monte Carlo), make it working and then accelerate (numerical, AI, ...)
  • organize sourcing of market data, imply volatilities, build curves, surfaces, cubes
  • validate existing models, both, theoretical soundness and implementation
  • connect to databases
  • Pricer development
      • Spot data (interest rates, forex, equity, credit, commodity)
        • history accumulator or client buys bulk of needed history
      • Option data
      • define IR-curves (funding and libor-type)
      • deliver implied volatilities (IV) given option definitions (payoff), and spot data
      • translate term sheet of derivative contract into payoff defined mathematically
      • choose underlying how we model the underlying stochastic process and calibrate it to the IV surface/cube
      • develop pricer (calculator) upon underlying stochastic process and payoff