|Pricing Partners presented new work on fast calibration for jump diffusion model - Mar 09|
Pricing Partners presented new work on fast calibration for jump diffusion model
Pricing Partners (www.pricingpartners.com) presented its new work on smart expansion and fast calibration for jump diffusion models at the MathFinance Conference, 23-24 March 2009. The annual MathFinance Conference is a major event for the quantitative finance community, especially in Germany and now increasingly in the entire European community. Organized by Uwe Wystup and his MathFinance colleagues for several years, it promotes leading quantitative work.
In this 2009 edition in Frankfurt at the Frankfurt School of Finance & Management (day 1) and at Commerzbank (day 2), celebrities like Peter Carr from Bloomberg, Steven E. Shreve from Carnegie Mellon, Gilles Pages from Paris VI University or Wim Schoutens from Leuven University presented works of singular importance. For Pricing Partners, it was a good opportunity to promote its active involvement in innovative work on approximation methods using its smart expansion method to calibrate very accurately jump diffusion models. This work is a joint collaboration among E. Benhamou, E. Gobet and M. Miri. The work was presented by Eric Benhamou, CEO of Pricing Partners.
Eric Benhamou comments: “We are very proud to have been invited at the MathFinance Conference to present our new work on fast calibration for jump diffusion models. This conference is a good opportunity to exchange ideas with strong quantitative practitioners and academics. Pricing Partners is committed to provide leading research work and I was happy to explain my joint work with E. Gobet and M. Miri on a new method to calibrate instantaneously jump diffusion processes thanks to our new approximation method. Our experience is that sophisticated models have been more resilient during the crisis. This new work allows a better consideration of risks for the smile and it is an important step forward.”
Pricing Partners, www.pricingpartners.com, the independent valuation expert, is a company providing both a pricing library with its own analytics and an independent valuation service on derivatives, making its positioning quite unique. Using a pricing library developed by former professionals of the trading floor, working in investment banks like Goldman Sachs, Natixis, Societe Generale, or HSBC, Pricing Partners provides independent valuation for virtually most of the derivatives, from the vanilla to the most exotic financial products. Its assets coverage is quite extensive and includes derivatives on Interest Rates, Fixed Income, Equity, Inflation, Credit, Foreign Exchange, Commodities, Life Insurance and Hybrid products.
Commercialized as Price-it® Excel or Price-it® online, its pricing library enables independent evaluation and revaluation with similar tools and accuracy as leading investment banks. It enables to price, monitor and validate counterparties’ prices in pre-trade and post-trade operations and collateral calculations. Using a generic payoff language description that allows description of virtually any financial derivatives, Price-it® provides also Greeks, VaR, CvaR and the most common risk management tools. Pricing Partners solution is used by risk control groups in investment banks, buy side firms, hedge funds, financial departments, trading rooms and audit firms. Its independent valuation service is a real plug and play service.
After signing NDA and receiving characteristics of financial products like ISIN or termsheets, Pricing Partners provides its clients with its independent valuation prices saved on its secured website. Pricing Partners has its own proprietary market data and takes care of the whole pricing chain with accurate market data and analytics.
MathFinance is a consulting company founded in 2003 by Professor Uwe Wystup. We are a team of senior financial engineers, all of them with more than 10 years of trading floor experience. The expertise is in pricing and hedging Foreign Exchange and Equity Derivatives, writing C/C++ code and linking the algorithms to front office systems (like Murex or Front Arena). MathFinance has a strong client base in Germany. Almost all large German banks are our customers. We have also been delivering our pricing libraries to clients in France, the United Kingdom and Hong Kong, and the libraries have been in use for more than 5 years. Our strength is to use high-level mathematics to implement our pricing tools. MathFinance is currently investing in developing a uniform and independent valuation platform for Foreign Exchange Exotics as well as a Rating Scheme for Structured Products. In addition to this, MathFinance produces a one-of-its kind electronic Newsletter, which is published every fortnight with all the latest news and job opportunities in the financial community worldwide. We now have a reader database of more than 5000. The latest of our publication ventures is The Ultimate Quant Cheat-Sheet with all formulae and hands-on information a quant needs on the daily job.
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 also 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.