Recent projects include:

• Assessment of research and development departments
• Risk of default in Brady bonds
• Index tracking
• Pricing and hedging exotic derivatives
• Pricing basket options via Quasi-Monte Carlo simulations
• Estimation of Value at Risk
• Volatility surfaces and the pricing of barrier options
• Numerical methods for pricing derivatives
• Inflation modeling and bond pricing

 

Recent clients include:

• Adam, Harding and Lueck
• Banco Finansur
• Banco Mildesa
• Banco Santander
• British Telecom
• Citibank
• Daiwa Europe
• Dresdner, Kleinwort, Benson
• IBM
• IG Index
• ING Barings
• Inventure
• Maxima AFJP
• Midland Bank
• Nomura
• Origenes AFJP
• PDG
• PDV Software
• Rand Merchant Bank
• Siembra AFJP
• Standard Corporate and Merchant Bank
• Sterling Design International