We focus on derivatives
valuation
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Our Services

How can we help you?

Valuation of financial instruments

Validation of valuation and risk models

Selection and parametrization of valuation and risk models

Implementation of valuation and risk models

Support in derivative contract negotiation

Quantitative risk advisory

Valuation of financial instruments

We can offer you full support in obtaining the correct market value of any type of derivative:

  • Provide the most accurate market value based on the best market practice.
  • Explain any differences in valuation resulting from market data, assumptions or model selection.
Validation of valuation and risk models

We can provide wide scope of services regarding validation of risk models:

  • Verify the assumptions, input and documentation of the model
  • Benchmark the model to the market practice
Selection and parametrization of valuation and risk models

We can provide wide scope of services regarding model selection and parametrization:

  • Choose the best market practice models, assumptions and market data
  • Select the most optimal parametrization and market data available
Implementation of valuation and risk models

We can wide scope of services regarding valuation and risk models:

  • Implement valuation model in Excel, VBA, Matlab, Python or R – depending on desired characteristics.
  • The implemented tool is tailored made to your needs.
Support in derivative contract negotiation

We can assist you with signing the derivative contract by:

  • Calculating a fair quote at the time the trade is being made.
  • Negotiate the contract details with the focus on correctly valuing all the optionalities
Quantitative risk advisory

We can help you with quantitative advisory:

  • Make the best use of your big data sets.
  • Design quantitative risk measures and models

Instrument coverage

We have experience in the following types of financial instruments

Foreign exchange

FX Forward, FX Swap, Vanilla / Exotic Options, European / American / Bermudan Exercise, Call / Put, Barrier, Double barrier, Binary / Digital, Asian, Lookback, Shout, Basket, Chooser

Interest rates

FRA, IRS, OIS, TBS, CIRS, Cap / Floor, Swaptions, Callable Swap, Knock-in, Knock-out, Barrier, Digital

Commodity

Forward / futures, Vanilla options, European / American, Asian, Basket, Spread, Spark, Peak/Off-peak, Storage options, Swing (volume) option

Equity

Forward, Future, Vanilla / Exotic Options, European / American / Bermudan Exercise, Call / Put, Lookback, Basket, Chooser, Cliquet

Credit

Credit Default Swap (CDS), Credit Linked Note (CLN), Asset Swap, Options on CDS

Bonds

Zero-coupon / fixed-coupon / floating-coupon bond, convertible bond, callable bond, puttable bond, inflation-linked bond

Share Based Payment

Share Based Payment (SBP) issued by a company for its employee based on market and non-market criteria

Embedded

Derivatives embedded in the main (regular) contract e.g. callable bond held to maturity

Other

Inflation Swaps, Inflation linked payments, weather derivatives, catastrophic derivatives, insurance

What We Are Good At

We focus on derivative valuation. No matter what type of financial instrument you have we will help you on its valuation, accounting treatment and potentially negotiation and implementation. Thanks to our exposure to various financial institutions, we are able to provide you the best market practice as well as comment on alternative methods. With Derivatives.Consulting you are not required anymore to have a valuation team within your organization, which makes us cost efficient. 

We are open for any kind of cooperation – one-time or continuous support. We want Derivatives.Consulting to be your one-point of contact for any issues related to derivatives. Please contact us to discover our capabilities.

Derivatives / Financial instruments
Valuation of financial instruments
Model validation
Quantitative risk management
Implementation of valuation models
Valuation Experts
01

Group of valuation experts

Group of valuation experts

Valuation of derivatives is complex and require experienced professions. You can trust our team, which has gained experience in the Big4, where we delivered the best market practice to major financial institutions in the world.

Valuation Team →
02

The most cost efficient solution

The most cost efficient solution

Derivatives.Consulting is the most cost efficient solution for you. If you decide to work with us, you will no longer need a valuation team in your organization, which reduces the wages, trainings and increases the quality of work.

Valuation tool →
Fast answer people
03

Accurate and fast answers

Accurate and fast answers

We promise to provide you valuation within the five business days. We also promise that you will be satisfied with our work. You can ask any question related to the original inquiry cost free. Do not hesitate to send us your inquiry.

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