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We advise on derivatives pricing, risk management, strategic opportunities with derivatives,
tailored models development, or launch of new derivatives markets.
Finite Elements in Derivatives Pricing.
The Finite Element Method, extensively used in
engineering problems, is now applied to value American options and other derivatives, giving better results than
simulation or other numerical methods.
Electricity Markets.
Futures contracts on electricity price, Options and exotic derivatives
(swing options, spark spread and locational spread options).
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Options Contracts on Real Assets.
Among many others: Material Procurement Contracts,
Supplier Switching Contracts, or Aircraft Delivery Options.
Other markets and contracts:
- bandwidth derivatives.- to hedge the risk of Telecoms, ISP, etc.
- weather derivatives.- to hedge the weather risk.
- insurance futures.- to hedge the risk of insurance companies.
- pollution allowance trading.
- Real Estate Futures, etc.
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