Financial Modeling

We think of models and simulations as a compass to guide decision making.

Services

Financial Modeling

aiquants help organizations in developing risk and pricing models (prototypes) that evaluate market, credit and liquidity risk exposures.

We define Risk as: the possibility of P&L being different from what is expected or anticipated; risk is randomness measured by the distribution of future P&L (Thomas S Coleman).

We mostly focus on market, credit and liqudity risks simply because they are the most amenable to mathematical analysis.

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Financial modeling services include:
  • Development of credit, liquidity and market risk models: Volatility and VaR
    • Historical VaR
    • Monte Carlo VaR
    • Parametric VaR
    • Expected shortfall / stressed VaR

  • Development of derivative pricing models including:
    • Black-Scholes
    • Monte Carlo
    • Finite difference
    • Longstaff-Schwartz
    • Greeks sensitivity analysis

  • Model Validation
    • Sensitivity
    • Stress testing

  • Designing mathematical algorithms for trading in Python
  • aiquants Research (Machine Learning in algotrading)
Our solutions
Risk Modeling
As per our definition of risk, the measurement of profit and loss (P&L) distribution. Volatility and VaR are...

Derivative Pricing Models
Valuation of assets require a deep understanding of the market as well as the asset in question. We use...

Model Validation
For risk model validation, the correct question is not: ‘Is the risk model right?’ or ‘Is the risk model correct?’...