Martingale Risk
Martingale Risk
Pricing. Our proprietary pricing technology allows us to price virtually every path-dependent
and/or callable structured note (or swap) in all the major currencies. We also develop and
implement tools specifically designed to calculate risk sensitivities and perform scenario
analysis for derivatives portfolios. A typical client request might be an asset manager asking for
the “fair evaluation” of a Callable 10Y EUR CMS Steepener before executing a transaction with
an investment bank.
Buy-side consultancy. Investment Banks often tend to push their clients toward high margin
exotic products even if this is not strictly necessary for the client’s investment objectives. On the
other hand, our remuneration is not related to any transaction the client might do indeed we are
in the position to always suggest the most appropriate solution in terms of available products.
Hidden risks. Often the price is not the only variable of interest when it comes to choose
among different products. Many of the cheapest alternatives available to manage interest rate
or exchange
rate exposure will embed hidden risk. Products such as Zero-Cost Collars or CMS Steepeners
are clear examples of cheap solutions that caused relevant losses in the past to those
investors that were not fully aware of the risks they were bearing. One of the key aspects of our
job is to make our clients aware of all the subtle dangers that can lurk in the financial products
they manage, putting them in a position to choose the most appropriate risk profile for their
specific
needs.
Our proprietary pricing technology. Depending on the derivatives underlying assets and
payoff, we select the most appropriate model for the underlying dynamic. We use a modified
version of the Libor Market model for fixed income products and a SABR based stochastic
volatility model for equity products. All our models are calibrated regularly on available market
data in order to match the prices of liquid traded instruments. We constantly work on our
analytics to keep them theoretically up-to-date and bug free. We want to stick to a business
model where our clients are never left alone dealing with modeling issues or results
interpretation.
and/or callable structured note (or swap) in all the major currencies. We also develop and
implement tools specifically designed to calculate risk sensitivities and perform scenario
analysis for derivatives portfolios. A typical client request might be an asset manager asking for
the “fair evaluation” of a Callable 10Y EUR CMS Steepener before executing a transaction with
an investment bank.
Buy-side consultancy. Investment Banks often tend to push their clients toward high margin
exotic products even if this is not strictly necessary for the client’s investment objectives. On the
other hand, our remuneration is not related to any transaction the client might do indeed we are
in the position to always suggest the most appropriate solution in terms of available products.
Hidden risks. Often the price is not the only variable of interest when it comes to choose
among different products. Many of the cheapest alternatives available to manage interest rate
or exchange
rate exposure will embed hidden risk. Products such as Zero-Cost Collars or CMS Steepeners
are clear examples of cheap solutions that caused relevant losses in the past to those
investors that were not fully aware of the risks they were bearing. One of the key aspects of our
job is to make our clients aware of all the subtle dangers that can lurk in the financial products
they manage, putting them in a position to choose the most appropriate risk profile for their
specific
needs.
Our proprietary pricing technology. Depending on the derivatives underlying assets and
payoff, we select the most appropriate model for the underlying dynamic. We use a modified
version of the Libor Market model for fixed income products and a SABR based stochastic
volatility model for equity products. All our models are calibrated regularly on available market
data in order to match the prices of liquid traded instruments. We constantly work on our
analytics to keep them theoretically up-to-date and bug free. We want to stick to a business
model where our clients are never left alone dealing with modeling issues or results
interpretation.
Derivatives Pricing Advisory
“Bringing the Excellence of the Big Banks to the Smaller Players”
"It's not that I am smart, it's just that I stay with problems
longer." Albert Einstein
longer." Albert Einstein
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