Finance
The most advanced quantitative techniques, notably the probabilistic
and statistical tools and the mathematical optimization methods
are intensively used in the financial industry.
The probability concepts and the statistical techniques provide
invaluable tools, for example to explore very large amounts
of data, like quotations on continuously traded markets, or
to quantify risk,
that is a key feature in financial activities.
The mathematical optimization methods are very helpful to
solve numerically tricky problems: model calibration with
non linear optimization, exotic options pricing with dynamic
programming or robust
portfolio selection with integer quadratric programming.
The know-how and the expertise of Artelys in the design of
operational solutions based on these technologies, especially
in modelling the dynamic and stochastic side, prove useful
to address different types of issues:
•
Financial products valuation: calibration of interest rates
models, pricing of swing contracts or take-or-pay options;
•
Portfolio selection: optimal close out of positions under
tax constraints, fund of funds design;
•
Pricing policy: yield management, market prices models, quotations
coupling mechanism between Exchanges;
•
Matching assets and liabilities: stochastic modelling, design
of management strategies;
•
Design and computation
of risk measures: Value-at-Risk type indicators, stress-testing
calculations.
Contact
For more information, please contact
us at:
•
Tel: +33 1 44 77 89 00
•
E-mail: info@artelys.com
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