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Home >> News & Events >> Press Release >> Pricing Partners presents a new research work at the AMAMEF - Apr 10
Pricing Partners presents a new research work at the AMAMEF - Apr 10


Pricing Partners Derivatives-Pricing-Analytics-Independent-Valuation    Pricing Partners AMAMEF

Pricing Partners presents a new research work at the AMAMEF

Pricing Partners (, the independent valuation expert and a world leader in mathematical models for valuations of derivatives and structured products, announced that it will present a research work on approximation formulas for local volatility with stochastic rate model. This original work caught the attention of the scientific committee.

The AMAMEF (Advanced Mathematical Methods in Finance) 2010 conference is a major event in the field of financial mathematics. It will run from 4 to 8 May 2010 in Bled, Slovenia, bringing more than 250 people from many different countries. The work presented here are important contributions in the field.

Mohammed Miri, Pricing Partners quantitative analyst will present its latest research work on “Analytical formulas for Local Volatility model with stochastic rates”. This work greatly reduces the computation time for model calibration. 

Mohammed Miri, said: "I am very happy to present my work at AMAMEF. Done in collaboration with Eric Benhamou and Emmanuel Gobet, this original idea provides very accurate formulas for complex pricing problems involving a hybrid model combining stochastic interest rates and local volatility. This is a very interested work. "

Eric Benhamou, Pricing Partners CEO, added: "Pricing Partners participation in such a conference is a strong sign of the quality of our research."

The conference will also be an opportunity to hear major contributions. For example and without limitation, Barndorff-Nielsen will explain how to model spot and forward prices in electricity. Rama Cont will present an extension of Ito's work for the hedging of path-dependent options. Hans Foellmers will revisit the theory of martingales to explain financial bubbles. Lane Hughston will outline how to value non-liquid products. Damien Lamberton will introduce a method for computing American options in exponential Levy processes. Christoph Schwab will detail a finite element method based on wavelet for pricing stochastic volatility models in high dimensions.


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. Pricing Partners delivers its solutions in two different means. Through 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). On the other hand, Pricing Partners develops and commercializes Price-it® Excel, an analytic and independent pricing library using a generic payoff language description which allows the pricing of virtually any financial derivatives. Price-it® also supports VaR, CVaR and the most common risk management tools. Pricing Partners masters the chain of valuation and develops its own pricing library and valuation platform. Its intrinsic knowledge and understanding of the pricing methodologies/models enable its clients to achieve highly accurate and reliable valuation on their derivatives books. Pricing Partners solutions can be used by investment banks, asset management firms, hedge funds, corporations, pension funds, fund administrators and audit firms.

Pricing Partners has also signed numerous partnerships to deliver its technology through local distributor like Belatos in Hong Kong, as well as with leading institutions like Thomson Reuters (for its pricing library integrated into Kondor+ Structured Products), Misys (for its pricing library integrated into Summit), CMA, Fitch Solutions or Lexifi. It is a Microsoft IDEES partner, an IBM, Sun, Datasynapse and ActiveEon partner. Furthermore, it is a member of the grid research consortium GCPMF uniting BNP Paribas, Calyon, Ecole Centrale, EDF, ENPC, INRIA, Natixis, Misys, Paris VI University and Supelec and a global coordinator of the Credinext consortium, in collaboration with Thomson Reuters, Lunalogic, Ecole Polytechnique, ENPC, University of Marne La Vallée and INRIA.

Pricing Partners holds offices in Paris, London, Singapore and Hong Kong.


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Yuxin Mao

Pricing Partners,

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