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Consulting
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Model Development & Validation....
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Investment Analytics
specializes in the design, development and
validation of mathematical models for pricing,
trading and risk management of cash and derivatives
securities in the equity, fixed income, foreign
exchange and credit markets. We are familiar
with a wide range of development and
programming tools, including C, C++, VB, VBA, Excel, Mathematica,
MatLab, @Risk and Simulink. |
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In addition to
developing customized models, Investment Analytics
can also assist with the validation of clients'
existing models and the evaluation of third-party
systems. |
Equity Portfolio Management
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Traditional and Monte-Carlo equity valuation
models |
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Pairs
trading strategies |
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Style/Factor models |
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Cointegration models |
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Market timing models |
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Tactical asset allocation models |
Equity Derivatives
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Vanilla
option pricing and risk management
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Equity swaps
and structured products
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Exotic option
pricing and risk management
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Variance
swaps and other OTC derivatives
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Bond
Portfolio Management
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Cash
and durationmatching |
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Portfolio optimization |
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Tax-optimization strategies |
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Rich/cheap and relative value models |
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Tender Option Bond programs |
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Cash/futures arbitrage models |
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CTD arbitrage models |
Interest Rate Models
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Ho-Lee, BDT and other single factor models
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HJM and BGM models
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Interest rate swaps and structured products
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Vanilla and OTC interest rate derivatives
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Yield Curve Models
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Simultaneous
bootstrap models
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LIBOR curve
models
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Multi-factor
duration models
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Tax-adjusted
yield curves
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Diebold-Li
and other dynamical yield curve models
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Credit Derivatives
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Total
return swaps |
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Counterparty risk models |
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Credit default swaps & options |
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Asset
swaps |
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Credit-linked notes |
Econometric & Stochastic Calculus Models
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GARCH,
EGARCH, REGARCH, APARCH, FIGARCH models |
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Vector Autoregression Models |
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Error
Correction Models |
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Cointegration and fractional cointegration
models |
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Correlation forecasting models |
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High
frequency econometric models |
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Heston & other single factor stochastic
volatility models |
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Multi-factor stochastic volatility models |
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Volatility surface modeling |
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Jump-diffusion models |
Non-Linear
Modeling
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TAR, SETAR, STAR, LSTAR models
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Markov & Hamilton regime switching models
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Logit, probit and tobit models
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Neural network models
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Genetic Algorithms
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Agent-based simulation models
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Risk
Management
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VaR modeling and stress testing
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Extreme value theory models
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Market crash exposure management
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CPPM
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Currency exposure risk management
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Monte-Carlo simulation modeling
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Volatility risk models
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Multi-factor duration models
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Credit/default risk models
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Investment Analytics ©
1998 - 2006 |
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