Model Validation

• Applying the latest mathematical techniques and algorithms to verify specific models adopted


• Multi-disciplinary quantitative team (numerical analysis, data-mining, time-series and optimisation)


• Independent opinion/advice for risk management


• Combination of academic research and many years of experience in developing industry-standard pricing/risk tools 

Some of our recent work includes:

• validating exotic options pricing models for a foreign-exchange trading desk
• evaluating pricing models with local volatility surfaces 

For further information, please e-mail us at: risk@csiro.au

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last updated February 11, 2005 09:45 AM