Consulting Services

Our team of financial engineers provides consulting services for the financial industry: banks, insurance, software houses, other consultants. We specialize in Foreign Exchange Options, Equity Derivatives, Long-term investment plans. Our key expertise is the combination of financial modeling using high-end methods from stochastics and numerics, market experience in Front Office financial engineering and our strong IT skills including C++, C#, Mathematica, Visual Basic, Python, Perl, PHP, R. We offer consulting in your company and also develop software or studies in our premises in Waldems (Germany), Frankfurt (Germany).
Sample Consulting Projects In the past we have delivered:
  • An FX exotic option pricing library, used by many banks and treasury desks all over Europe. It is coded in C++, and available as DLL, XLL, SO. It has front ends in:
  • A tailor-made pricing library for live quotes of FX bonus certificates for a leading bank in Germany
  • An implementation of a local volatility based pricing tool using finite differences for exotic equity derivatives for a large bank in Germany
  • A back-testing environment for a leading Bank in Germany
  • An Excel/VBA tool to price exotic products like discretely monitored partial lookback options for a hedge fund in London
  • An Excel/VBA tool to price shout FX forwards for a large consulting company in Hong Kong
  • A statistical survey and simulation of the performance of funds with and without guarantee for Franklin Templeton.
  • A statistical survey and simulation of the performance of various retirement savings plans for DWS and AXA
  • A statistical survey and simulation of the performance of various funds-linked retirment provison plans with guarantees (Riesterrente) for EURO-Magazin.
  • An independent valuation of an alti-plano style equity basket certificate issued by a large bank in Germany. This was done to rule out bad rumors of the product that had appeared in the media.
  • Many years (since 2000) of Germany's best annual quant conference
  • Regular training courses both public and in-house throughout the globe
Ongoing Projects We are currently working on:
  • An independent Monte Carlo pricing engine that can price exotic in many models including jump diffusions, Levy processes, local volatility models, stochastic volatility models. This allows us to run independent valuation.
  • A pricing library for interest rate swaps, caps, floors
  • A stable FX smile surface generator based on brokers' quotes
  • A validation engine for hybrid local-stochastic volatility models
  • A discussion forum and open source platform for the FX smile surface
  • A general simulation tool to analyse investment plans
Our Network We can help you with the independent valuation of any financial product, from model development to implementation. Our key expertise is in Foreign Exchange and long-term investment plans. However, we also cover other markets, and: if we can't do it, we know the people who can, and we will be happy to provide you solutions through our large global network of partners, which includes: