Our Competency
We have compiled a collection of numerical and computational methodologies that are part of our offerings. Most of these specializations are based on current research papers which describe numerical and statistical algorithms alongside their theoretical developments.
Programming
We program in C#, MatLab2009, MFC6, C++, Java and S-Plus. Special emphasis is given to programs used in financial software, with extensive understanding of the theory.
Genetic Algorithms
Simulation
- Monte Carlo Simulations
- Quasi-Monte Carlo Simulations
- Tree Simulations
- Historical Simulations
Numerical Methods in Partial Differential Equations
Neural Networks
- Feed Forward Networks
- Recurrent Networks
- Self Organized Maps
- Stochastic Machines
- Classification
- Neurodynamic Programming
Credit DerivativesTop
Time Series Analysis
Default-time Modeling
Copula
Geometric Brownian Motion
Levy Process
Martingale Theory
Hazard Rate Modeling
Partial Differential Equations
Interest Rate ModelingTop
FAVAR Model
SABR Model
Stochastic Calculus
Affine Methods
Martingale Theory
Curve Fitting
Levy Process
Monte Carlo Methods
Geometric Brownian Motion
Quantitative ModelingTop
Main software used for quantitative analysis is Mathematica & MatLab which is the most powerful and versatile tool in the market for this type of work. We are specialized in a number of areas pertaining to finance. Partial differential equation
Stochastic differential equations
Numerical methods in partial differential equations
Pricing models
- Binomial
- Black-Derman-Toy
- Black-Karasinski
- Black-Scholes
- Cox-Ingersoll-Ross
- Cox-Ross-Rubinstein
- Duffie-Singleton
- Garman-Kohlhagen
- Heath-Jarrow-Morton
- Hull-White
- Trinomial model
Volatility ModelTop
ARCH/GARCH & it's variations
Implied Volatility
Volatility Surface Modeling
Statistical AnalysisTop
Main software used is S-Plus and MatLab, which is the most widely used statistical package for research and analysis. We provide an assortment of statistical tools used in Finance.
Bootstrap
- Block and moving window bootstrap
- Bootstrap methods for stationary time series models
Subsampling
- Nonparametric curve estimation
- Kernel Regression
- Kernel Smoothing
Time Series Models
- Time Series Regression Modeling
- Univariate GARCH Modeling
- Long Memory Time Series Modeling
- Rolling Analysis of Time Series
- Systems of Regression Equations
- Vector Autoregressive Models for Multivariate Time Series
- Multivariate GARCH Modeling
- State Space Models
- Factor models for Asset Returns
- Term Structure of Interest Rates
- Robust Change Detection
Portfolio ManagementTop
Dynamic Programming
Genetic Algorithm
Bayesian Networks
Kernel Methods (SVM)
Co-integration
Trend Analysis
Numerical Optimization
Monte Carlo Methods
Risk ManagementTop
Time Series Analysis
Extreme Value Theory
Copula
Heavy Tailed Distribution
Macro-Economic AnalysisTop
FAVAR
Linear Regression
Principal Component Analysis
Clustering
Gibbs Sampling
Dynamic Programming
Trading ToolsTop
Continuous Time Optimization
Monte Carlo
Time Series Analysis
Trend Analysis
Heavy Tailed Distribution
Stochastic Calculus
Combination of these activities result in a client specified financial product. We provide a varied range of analytical activities that support the development and evaluation of tools in quantitative finance.