Financial Instrument Pricing

Mathema provides pricing models in relation to all known financial instruments.

Pricing approaches include both exact analytical solutions (where known) and approximate numerical solutions.

Mathema makes extensive use of algorithmic differentiation and tensor calculus to provide reliable and fast derivative pricing models.

Mathema can price millions of instruments daily or more frequently if required. 

Financial Derivatives

Financial derivative modelled include :

Options - American, European, Puts and Calls

Exotics - Altiplano, Annapurna, Asian Arithmetic, Asian Geometric, Atlas, Barrier Down In, Barrier Down Out, Barrier Up In, Barrier Up Out, Binary Asset, Binary Cash, Chooser, Compound Call/Put, Double Barrier Knock In/Out, Everest, Extendible Holder, Extendible Writer, Himalaya, Lookback Fixed, Lookback Floating, OneTouch, Perpetual, Perpetual Lookback, Power, Power Capped, Powered, Quanto Fixed Exchange, Quanto Fixed Strike, Rainbow Best, Rainbow Max, Rainbow Min, Rainbow Money, Rainbow Worst, Russian, Spread

Futures - All

Swaps - Interest Rates, Cross Currency, Asset, Volatility


Capital requirements

Mathema will assess the capital requirements of both individual and portfolios of instruments. Capital benchmarks include Basel III, Economic Capital and capital subject to margin requirements. Capital under stressed, correlated scenarios is also assessed.