Derivatives Modelling Services and Solutions

Derivatives Modeling

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Who we serve

Support We Offer

Risk and Quantitative Analytics

  • Derivatives modeling and valuation

  • Risk management

  • VaR modeling

  • Yield curve dynamics

  • Volatility and volatility term structure modeling

  • Scenario analysis and stress testing

  • Monte Carlo simulations

Front-office Trade Support

  • Pricers, including Excel-based pricers with C++ libraries

  • Excel, C# GUIs, models, query builders, analyzers, simulators, and optimizers

  • Database/solution architecting, testing, and auditing

How we are different

Off-the-shelf models

Tried and tested simulation engine

Expertise in derivatives analytics

Quant skills - market knowledge, mathematical modeling, and programming skills

What we have done

Derivative Structuring for a Europe Based Investment Bank
What we are proud of

$350k

in annualized cost savings

5X

increase in annual bespoke hedging pitches

Read more
See All Case Studies

Our Perspective on Derivatives Modeling

The countdown to a post-LIBOR world
Whitepaper
: LIBOR transition

The countdown to a post-LIBOR world
Asset managers should shift LIBOR transition planning into high gear
Whitepaper
: LIBOR transition

Asset managers should shift LIBOR transition planning into high gear
LIBOR Transition: Implications for Asset Managers Holding Legacy Fixed Income Contracts
Whitepaper
ESTR Euribor

LIBOR Transition: Implications for Asset Managers Holding Legacy Fixed Income Contracts
Can SOFR be more than just LIBOR 2.0?
Blog

Can SOFR be more than just LIBOR 2.0?
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Meet our experts

Sriram Kovil
Sriram Kovil

Associate Director, Quantitative Services
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