Quantitative finance models are the basis for valuing and analyzing complex positions and for measuring the financial risk of a portfolio. Iason research has developed sophisticated quantitative finance models by exploiting the best theory and market practice currently available. In particular, Iason has focused in designing models of the term structure of interest rates, valuation models for complex derivative instruments in several markets (FX, equity, interest rates, etc.), smoothing models for interpolation of yield curves and volatility surfaces and cubes, and measurement of Value-at-Risk. Iason’s capability to develop innovative new models or enhance existing models is available as a consulting service to Clients requiring external resources for model development, testing and application. Iason has extensive experience in providing modeling services to a broad spectrum of clients, in the following areas:

Ready-to-use financial libraries with basic to advanced functionalities and pricing tools.

Interest rates curve management and bootstrapping:
Curves definitions in accordance with the instruments to be priced
Convexity bias
…

Volatility surfaces and cubes definition for:
FX
Equity
Interest rates/Inflation rates (Caps&Floors, Swaptions,…)


Consistent interpolation/extrapolation tools from available market data.

Support to the valuation of complex derivatives according to the most advanced market practice, including all relevant risk factors.

Examples are:
Interest rates derivatives: CMS, CMS spread options, Vol Bonds, MinMax bonds, TARNs, …
FX derivatives: FX Basket, long dated FX structures,…
Equity derivatives: Best/Worst of, Himalayan, Napoleon, Cliquet,…
Hybrid derivatives

Our models have been developed and used in real financial markets for market making and hedging.

As such, our models include all risks market deems relevant to price the structures and to effectively hedge.

Financial Institutions currently hold many complex instruments in their portfolios, either as proprietary positions or as for distribution purposes. In any case, a fair valuation is needed though not always a correct pricing model is internally available. Iason’s broad expertise in developing models for several markets makes possible a fair valuation of the portfolio on an independent basis and with certified market data used as models’ input.

The service is for those institutions not interested in building a trading and risk management system, but simply needing a fair revaluation of their (possibly very complex)derivatives positions.

The revaluation can be done on demand or on a periodic basis, for accounting and risk monitoring purposes.

Market data (rates, prices, volatilities, correlations, etc.) can be provided and their fairness certified.

Example sof complex structures:
Hybrid structures interest rates/equity/commodity
Equity linked structures
Steepners
Autocallable

Risk management is an increasingly important aspect of the strategic management of Financial Institutions. The desire to maximize shareholder value and maintain a prudent level of financial risk have emphasized the need to better understand the risks implicit in a complex strategy and to develop a framework to support performance and risk management. Iason’s “Risk Assessment and VAR” services help the Client understand the risks related to its positions.

Examples of “Risk Assessment and VAR” advice provided by Iason include:

Scenario analysis (worst case scenario)

Historical VAR (historical levels for a wide range of market data can be provided)

Statistical VAR

Simulations aimed at optimizing the instruments, the quantity and the timing for hedging strategies, futures rolls, …

Reporting to the Risk Control department, Audit and Direction