Consulting and Projects
The UnRisk team has successfully managed and executed a large number of projects in varying fields in quantitative finance. From the development of single valuation functions for complicated structures products, technical and statistical analysis of data, to the development of large scale enterprise wide systems for risk management and xVA calculations - our experts provide tailor made solutions.
Mathematicians, software engineers and system architects are part of UnRisk project teams. If needed, we also provide project managers and are keen to transfer our know how to your inhouse experts.
UnRisk Academy Packages Know How
UnRisk Academy has been established to extend product user training with courses giving full explanation on quantitative theories, mathematical approaches and critical implementations.
Who will benefit?
Since the beginning of the financial crisis markets have shifted to new regimes, characterized by almost unimaginable anomalies, and on the quantitative side, even familiar models and valuation techniques became unmasked as unreliable.
Quants and risk professionals who want to avoid, and help avoiding, any methodological and technological risks and traps, often hidden in black boxes, will be trained in configurable courses.
Modular Seminar: Quantitative Finance
UM1: Models for Underlyings
UM2: Deal Types/Case Studies
UM3: Financial PDEs and PIDEs and their Numerical Treatment
UM4: Monte Carlo Simulation and Longstaff-Schwartz
UM 6: Value at Risk Methodologies and Calculations
The Seminar is designed for 17 days, but can be configured. In each topic theory will be covered as well as hands-on training (using UnRisk) will be provided.
A typical module refinement:
UM1: Models for Underlyings
Part 1A: Preparation: Mathematical set-ups tools (random walks, stochastic differential equations, Brownian motion, Ito's lemma,...)
Part 1B: Equity models (from Black Scholes to Exponential Levy): Black Scholes (idea, derivation, strengths and weaknesses,...); Dupire (local volatility); Stochastic volatility models (Heston and beyond)
Part 1C: Interest Rate models (Short rate & market models): One factor models - Hull-White (idea, derivations, strengths and weaknesses), Cox Ingersoll Ross, Black Karasinski; Two factor models - Hull White (introducing stochastic drift), Anderson Andreasen Cheyette; Market models, LMM
Part 1D: Derived Models: Inflation; FX rates models - Kjaergaard, Hull White, Gaman-Kohlhagen
Part 1E: Advanced Models: Jump processes (Exponential Levy, Bates, ...)
Part 1F: Even more complex: LMM + stochastic Volatility, Interest rate + jumps
UnRisk Academy Trainers
Andreas Binder is CEO of MathConsult GmbH. He is also head of its computational ﬁnance group, the UnRisk Academy and MD of the Austrian Industrial Mathematics Competence Center. He has got a Ph.D. in Applied Mathematics.
Michael Aichinger is CEO of uni software plus GmbH and expert in numerical methods for partial and stochastic differential equations. He has got a Ph.D. in Theoretical Physics.
Andreas and Michael are Authors of A Workout in Computational Finance