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| Securities - Overview |
Securities could be defined as negotiable financial instruments serving as evidence that units have obligations to settle (as an unconditional promise) in a definite time by means of providing cash, a financial instrument, or some other item of economic value. A financial asset is negotiable if it is actively or inactively traded in a secondary market.
INTICS Group's expertise in the relevant theory, analysis, and management of securities and collaterals adds an inestimable value for our clients and partners. |
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Key instruments
Some standard types we are working with:
- fixed income - central government bonds, corporate bonds, treasury bills and other securities issued by a central government or its agencies, tax anticipation notes, negotiable certificates of deposit;
- securities with embedded derivatives - denominated in a foreign currency, floating rate notes;
- asset-back securities - collateralized mortgage obligations, mortgage backed bonds;
- financial derivatives - forward type contracts, options (exotic included) and futures;
- credit and insurance derivatives - CDS, total swaps, credit default options, collateralized debt obligation, convertibles.
Our approach
The plethora of available pricing algorithms and the ever increasing number of securities makes identification of adequate algorithms extremely hard. Our success is based on vast amount of experimental data, theoretical research and systematic methodology we applied for development of the computational framework we are working with. Some classical and latest theoretical models we could use in a typical work are:
- Classical Black-Scholes-Merton, Black and Merton;
- Stochastic volatility, generalizations of binomial tree, Gaussian-Copula and jump-diffusion;
- HJM, Vasicek and CIR;
- Monte Carlo;
- Finite difference;
- etc...
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