Bespoke model development

»We need to add a Mixed Local/Stochastic Volatility Model to our options analytics library.«


»We need to develop a new VaR model, based on GARCH time series analysis.«


You know your business requirements; we know how to fulfil them. We have a wide understanding of the financial markets and the challenges you face. We are experts on a wide variety of modelling methods, numerical methods, analytics, technologies and programming languages. We will analyse your business requirements and deliver the solutions that you need. Here are some typical examples of business requirements we satisfy:

  • Calculation of fair values of derivatives under various process models
  • Implied volatility surface marking and interpolation
  • Time-series analysis and forecasting
  • Algorithmic price-making and trading
  • Value-at-Risk (VaR) and Expected Shortfall (ES) analytics
  • Liquidity/spread management and over-hedging
  • Targeted data analysis, such as for the detection of Unauthorised Trading

The work of model development can involve any of the following phases of activity:

  • Discussion of the problem to be solved, the practical requirements and restrictions, and corresponding modelling ideas
  • Mathematical formalisation of the business-specified model requirements
  • Derivation of the model – the mathematics and the numerical algorithms
  • Choice of technological architecture
  • Sourcing of heterogeneous data
  • Design, coding, testing, analysis and release of model software, including front end