2013
Market making, arbitrage, structuration
Security selection, portfolio optimization, risk diversification.
Model validation, calibration of pricing parameters, optimization of the strategies' risk profile.
The operation takes from 3 to 20 working days. The objective is to meet an occasional demand of support or training.
The operation takes from 20 to 60 working days. The objective focuses on a specific part of the client's development project.
The operation takes more than 60 working days. The objective includes the entire client's project.
The project "Convertible bonds arbitrage" consisted of the implementation of systematic detection tools of arbitrage opportunities of over 800 convertible bonds.
Thanks to its competence,
The developed tools allow traders to improve and rationalize their investment approaches.
The project "options market making" consisted of studying the profitability of options market making strategies on shares belonging to several European indexes.
Thanks to its competences in pricing and its experience in data management,
The developed tools allow traders to analyze the market liquidity and to detect the most interesting securities to process.
The project "model validation" consisted of the testing of a pricing model of convertible bonds, describing a new dynamic of the underlying equity and credit with a link between equity and credit.
Thanks to its competences in modeling and back-testing,
The survey allows the client to prove the suitability of the new modeling under all market conditions.
In order to remain on the cutting edge of its field of expertise,
In the field of quantitative finance, technology watch is the monitoring of publications about new models. The access to new technologies of data management and programming is also a key-factor for future successful projects.
Based on the historical transactions of derivatives, adjustment strategies of the hedging with Greeks and hedge ratios are defined by the user, so that it is possible to systematically test the hedging strategy under conditions very similar to those of the market (transaction costs, slippage). The user obtains an analysis of the PnL's distribution which can now be decomposed according to the different risk factors and combined according to several predefined criteria.
The user defines the quantitative indicators helping for the trend detection based on a list. He then defines the parameters of intra-strategy management rules (opening and closing of signals coming from the indicators) and inter-strategies (portfolio allocation rules). In this way, he can get a vision of the PnL which can be decomposed according to several risk factors and combined according to different predefined criteria.
The user defines the type of basket he wants to get and the statistical test needed for the pre-selection of the baskets. He then defines the parameters of intra-strategy management rules (opening and closing of signals coming from the indicators) and inter-strategies (portfolio allocation rules). In this way, he can get a vision of the PnL which can be decomposed according to several risk factors and combined according to different predefined criteria.