Our Services

Model Validation

Each model requires different depth of the model validation. Additional to that each payoff requires different numerical methods. It is essential to choose the most appropriate model among the available list based on the customer requirement and capabilities. Thus, a model acceptable in one financial institution may not be suitable in another.

Quantitative Analysis

Our job is to select the model based on customer risk appetite, internal risk framework and model governance. In line with the regulatory requirement we validate the model by building an independent model or models and benchmarking the objective model against them.

Stress Testing

Stress testing of the original model under extreme scenarios to determine the domain of the market data and model parameters for which the model maintains its accuracy and stability. to analyse the model performance in explaining the daily P&L changes, to identify the market data or model parameter uncertainty.

Model Recipe

  • 1- and 2- factor/cross currency Hull-White model;
  • single currency and cross currency Libor Market Model;
  • Black-Scholes-Merton model;
  • Bachelier model;
  • Equity/FX local volatility model, a.k.a Dupire model;
  • Heston model;
  • Our Products

  • All linear rates, fx products;
  • First generation FX and Equity products, e.g. barriers and touches;
  • Sophisticated interest rates exotics like Bermudan, Callable Range Accrual;
  • Popular in Asia FX structures like TARN variants, Accumulators, Pivots;
  • Popular equity structures like Accumulators, Basket options with memories.
  • Parallel Computing

    InteractivePricing specializes in high-performance engines for the pricing of derivatives. Our area of expertise is parallel and high-performance computing (grid, GPA and FPGA), highly optimized numerical methods.