Quantitative Finance consulting
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Over 15 years financial engineering experience in providing full-range solutions for financial modeling needs.
Typical projects are: quantitative research, modeling, developing pricing-, structuring- and optimization-tools, model validation, software development, and project management.
Past Client Projects
Our Clients
Most of our clients reside in Europe, but we also occasionally work on projects remotely outside Europe.
- Dutch Ministry of Economic Affairs, Agriculture and Innovation
- Vattenfall One of Europe’s leading energy companies, supplier of electricity and heat
- Enel is the largest electronic operator in Italy and the second largest utility quoted in Europe for established expertise.
- Rabobank is an international financial services provider and has approximately 59,000 employees (in FTEs), who serve about 10 million customers in 48 countries.
- AT Bank formed in 1994 and is since 2001 part of the Russian Alfa-Bank Group, the largest private commercial bank in the Russian Federation.
- Delta delivers energy, infrastructure, environmental- and digital services -internet, phone, radio, tv- and has 3.000 employees.
- Nidera is an international trading and agribusiness company with offices in 22 countries.
- Kyos Consulting is a specialized consultancy firm that uses its deep understanding of energy markets in advisory services modeling and training.
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Skills
Financial Engineering
- Stochastic modeling of complex price behavior: Yield models, non-linear stochastic dynamical systems.
- Derivative pricing models: Finite Difference, Monte Carlo, Stochastic optimization
- Model validation
- Algorithmic trading strategies: backtesting, optimization
- Micro market modeling
- Volatility arbitrage strategies
- Credit Risk Modeling & Advisory
- Improving Monte Carlo Engines: low-discrepancy
- Stochastic Optimization for Exotic option pricing, asset optimization
Energy & Commodity Modeling
- Gas & Electricity spot model
- Development of Commodity Forward curves models
- Weather modeling: stochastic models and forward curves for temperature, wind-speed, light intensity
- Load and production forecasting
- Real Options: Power plant valuation and dispatching
- Wind generation valuation and the impact on markets
- Gas storage optimization and valuation
- Hydro storage project valuation
- Strategic investment advice
- Energy subsidy structuring
- Development of commodity proxy hedging strategies for illiquid products
Software Development
- C++, STL, Templates: Windows / Unix, Boost libraries
- Python, Perl, sh
- Scientific: Matlab, R project, MEX addins , BLAS / Lapack
- Office: Excel, VBA, Excel C++ xll addins
- Web development: Javascript (JQuery, Ajax, Comet), Flash / FLEX, PHP, Python, SVG, XML, XSL,
IT skills
- Orderouting & Datafeeds: FIX Protocol, Euronext UTP, RTS, Interactive Brokers, Oanda
- Databases: MySQL, PostgreSQL, Oracle, Microsoft SQL Server, Access
- Operating Systems: Linux, Windows, OSX
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