We are a boutique financial service firm specializing in quantitative analysis, derivatives valuation and risk management. We combine the power of traditional structured finance with modern high performance computing in order to deliver unique solutions to our customers. Our clients range from asset management firms to industrial, non-financial companies. Our services include:

DERIVATIVE VALUATION
    Valuation of financial derivatives such as convertible bonds, mortgage backed securities, variance swaps, credit default swaps, collateral debt obligation
    Development of Monte Carlo valuation model to value executive stock options and real options
    Yield curve construction (LIBOR, overnight index swap, cross currency) in various currencies
    Development of a structural credit model for determining corporate credit spreads and probabilities of default
    Implementation of advanced derivative pricing models
    Independent Price Verification
    General derivative valuation services

RISK MANAGEMENT
    Risk analytics for derivatives books such as calculation of the Greeks, Value at Risk
    Validation of risk management models such as Economic Capital, IFRS9
    Implementation of advanced options pricing models: stochastic volatility, local volatility
    Development of multi-factor stochastic models for volatility and commodity related products
    Design and implementation of database for financial data and analytics
    Developing trading and hedging strategies for equity and commodity portfolios
    General quantitative analysis services

Harbourfront Technologies

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