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Competencies

Financial Services

Competencies:

Pricing and Valuation

Quantitative analysts and financial engineers around the world use MATLAB® to price options, derivatives, structured products and other securities. In South Africa, MATLAB is used extensively for sell-side financial instrument pricing. At numerous organisations, MATLAB pricing models are in wide circulation and used by front-office traders and clients of the institution.

Quantitative analysts use MATLAB and related toolboxes to:

  • Obtain historical, real-time and derived data from spreadsheets, databases and data feeds
  • Build term structures of interest rates, for pricing fixed-income securities
  • Price financial derivatives using a variety of methods, such as Monte Carlo simulation, binomial and trinomial trees, closed-form equations and partial differential equations
  • Calculate and analyse sensitivity measures and implied volatility for options
  • Ensure a competitive edge by speeding up pricing algorithms using parallel computing
  • Share pricing models with front-office traders and clients, in the form of Excel Add-Ins, software components, or via the web

MATLAB is chosen for its numerical accuracy, mathematical versatility, and programming efficiency. Quants can make use of a variety of built-in algorithms for pricing financial instruments, or implement their own methods quickly using MATLAB’s high-level programming language. Pricing models take a fraction of the time to programme and run in MATLAB than they would in C++ or Visual Basic. Pricing models built in MATLAB can be shared as independent software components (such as Excel Add-Ins) without the need for recoding, shortening time-to-market for these models and providing a competitive edge. Our consulting team can assist with several components of the pricing workflow, from model implementation to code speedup, to integration of MATLAB pricing models with graphical user interfaces or other front-end systems.