We are a financial technologies firm that helps partner financial companies with cutting edge research in advanced derivatives pricing, hedging and trading. We also do modeling work in advanced algorithmic trading research of vanilla instruments/derivatives that includes but not limited to volatility and correlation trading, and various forms of statistical arbitrage. We have proven advanced research capabilities and our focus is to use our expertise in enhancing existing technologies and finding better and innovative alternatives whenever we can. We strongly believe that dynamics of most financial markets are mechanical enough to be captured by smart modeling techniques that give a winning edge to the trader.
We use advanced optimization methods to calibrate the model to “hedging instruments.” The optimization techniques include pure Newton Methods, Levenberg-Marquardt method, Conjugate Gradient methods, Steepest Descent Method, and Gradient-less methods for calibration of complex models. For example, in the past, our application of Conjugate Gradients method calibrated BGM Stochastic Local volatility displaced diffusion Heston Model with Stochastic Basis and dimensionality of the order of ten thousand in less than a minute. Instead of using third party optimization techniques, we use techniques that we developed in house. We never used a third party optimization technique.
We propose that you describe and discuss the strategies you want to use in the markets, tell us about your insights and provide us the market data. We will choose the best models for the strategies and do all the quantitative research work and openly transfer the technology. We assure you that our quantitative research will help your firm towards a solid understanding and intuition of dynamics behind different mathematical strategies and emphasize and identify what makes a strategy win or lose money so that the trader is aware of what constitutes a winning scenario and what are pitfalls of each strategy that can result in its downside.
We do not take standard econometrics or derivatives pricing work. Though we have huge expertise and background in interest rates derivatives, this is an area in which we do not work anymore.