Our pricing models are evaluated too: by how they valuate.
Our specific strengths include the valuation of complex financial products and the evaluation of various market scenarios. In LPA Captano, models are used which we have developed ourselves. We develop these models continuously and thus ensure the market conformity..
- The models are based on the Black-Scholes model and the Heston model for foreign exchange
- Black models, linear rate models or replication models are used for non-path dependent derivatives
- For path-dependent derivatives and cancellation and access rights, an extended LIBOR market model or cross-currency LIBOR market model is used
- With help from Monte-Carlo based algorithms, the valuation of any interest- or FX-driven cash flow is possible
For further information, we provide you with the following papers:
Notes on Convexity and Quanto Adjustments PDF 629 KB