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
Volatility surfaces and cubes definition for:
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.
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,…
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.