Join us on :
Home >> News & Events >> Press Release >> International Workshop On New Directions In Quantitative Finance - May 08
International Workshop On New Directions In Quantitative Finance - May 08


Pricing Partners Derivatives-Pricing-Analytics-Independent-Valuation 


 Pricing Partners Risk-Management-and-Financial-Engineering-Laboratory-from-the-University-of-Florida Pricing Partners Center-for-Financial-Engineering-from-the-Columbia-University-in-the-city-of-new-york Pricing Partners Center-for-Applied-Mathematics-from-the-Ecole-Polytechnique


20th May, 2008 – Emmanuel Gobet, from the ENSIMAG, presented a research paper on Smart Expansions and Fast Calibration Methods for Jump Diffusions Models co-written with Eric Benhamou and Mohammed Miri.

The International Workshop on New Directions in Quantitative Finance has been organized by the financial departments of prestigious schools which are the Center for Applied Mathematics from the Ecole Polytechnique, the Center for Financial Engineering from the Columbia University and the Risk Management and Financial Engineering Laboratory from the University of Florida.

This workshop brought together leading international researchers to discuss state-of-the-art results in quantitative finance related to emerging issues in derivatives modeling, portfolio optimization and risk management.

The conference was a great opportunity for Eric Benhamou, Head of the Research&Development department, and Mohammed Miri, quantitative analyst preparing a CIFRE thesis on hybrid derivatives, to let know the research paper called Smart Expansion and Fast Calibration for Jump Diffusion they co-wrote with Emmanuel Gobet, from the ENSIMAG INPG Department.

The innovation of such research consists in deriving an analytical formula for the price of European options, for any model including local volatility and jump Poisson process using Malliavin calculus techniques. The researchers demonstrated that the accuracy of the formula depends on the smoothness of the payoff. Their approach relies on an asymptotic expansion related to small diffusion and small jump frequency. As a consequence, the calibration of such models becomes very fast.  



About Pricing Partners 

Set up by former professionals of the trading industry, Pricing Partners offers accurate solutions for derivatives products valuation, pricing tools and risk analytics. Thanks to Price-it online, a SaaS platform, Pricing Partners provides independent valuation from the vanilla to the most exotic financial products on most assets (Interest Rates, Fixed Income, Equity, Inflation, Credit, Foreign Exchange, Commodities, Life Insurance and Hybrid products). Pricing Partners develops and commercializes Price-it Excel, an analytic and independent pricing library using a generic payoff language description that allows it to price virtually any financial derivatives. Price-it supports VaR, CVaR and the most common risk management tools. Pricing Partners is the only company completely mastering the chain of valuation, developing both its own pricing library and a valuation platform giving its clients very accurate and reliable valuation as a result of its intrinsic knowledge of the pricing tools. Pricing Partners solutions can be used by investment banks, buy side firms, hedge funds, financial departments, trading rooms and audit firms.