The increased complexity of so-called "structured" financial products often calls for the use of sophisticated valuation methods.
Hiram Finance’s researchers use the latest research results to put together theoretical studies and to develop or improve elaborate valuation tools. They also bring their skills to bear on the validation of the models used in trading rooms.
Here are a few examples of our work
The introduction of an arbitrage search tool on interest rate options. This tool allows users to validate the volatilities used in trading rooms and to detect certain scenarios upstream which could lead to instabilities in the calculation of the VaR.
The development of a volatility interpolation application for shares and indices. This software can also detect volatility arbitrages and it allows the user to calculate exotic options taking the smile rate into account.
Articles
An Arbitrage-free Interpolation of Volatilities, Nabil Kahalé (article presented at the 20th AFFI - Association Française de Finance – French Finance Association - conference, in June 2003)