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Over 15 years financial engineering experience in providing full-range solutions for financial modeling needs.

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Probability Engine »

The Sitmo Probability Engine is the most advanced forecasting and Monte Carlo tool for learning complex dynamical behavior from data.

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Time Series Store »

Sitmo Time Series Store is a high performance system for managing observation- and market-data that has seamless integration with large range of systems.

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Latest News and Articles

Validation of Treasury and Trading Pricing and Risk Management Models and System

Validation of Treasury and Trading Pricing and Risk Management Models and System

January 20th, 2012

This is an interim project I did in the period June 2011- Jan 2012 at a Dutch Bank. The implement[...]

Quantitative Strategic Modeling – Regulatory Impact Assessment

Quantitative Strategic Modeling – Regulatory Impact Assessment

January 12th, 2012

This was a project I did in the period September 2011 - January 2012 European- and State regulati[...]

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Brownian motion transform invariants

November 11th, 2011

Below are some usefull transform invariants for Brownian motion. [latexpage] begin{align*} text[...]

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Some usefull definitions for stochastic processes

November 11th, 2011

[latexpage] Bayes's Rule begin{align*} P[A_j|B] = frac{P[B|A_j]P[A_j]}{P[B]}\ \ P[B]=P[B|A_1][...]

An Internally Consistent Interpolation Method for Yield Curves

An Internally Consistent Interpolation Method for Yield Curves

November 11th, 2011

[latexpage] Here we present a new yield curve interpolation method, one that's based on conditionin[...]