Quant Island is the company I created in order to independently work on the subjects I care about. The consulting services provided by QuantIsland are not limited to quantitative finance but extend to the much wider realm of FinTech. Since QuantIsland is registered with the Accounting and Corporate Regulatory Authority of Singapore (ACRA) it can be in business  relationships with firms worldwide.

QuantIsland offers services in following fields

Quantitative risk management

  • Creation of simple risk-management systems with in-house tools
  • Leverage QuantLib as a tool for risk management of complex derivatives
  • Risk management using StatPro Revolution
  • Creation of sophisticated in-house risk management solutions
  • Risk management of energy derivatives

Training in quantitative modelling

  • Basic quantitative-finance pricing techniques
  • Simple and exotic interest-rate models
  • Credit derivatives and probability of default
  • Basic analytics for portfolio risk management: e.g., equities and linear derivatives
  • Stat-of-the-art analytics for portfolio risk management: e.g. computation of risk for exotic derivatives
  • Fixed-income performance attribution
  • Fixed-income risk attribution

Agile software development in quantitative finance

  • Help in setting up an agile software project for quantitative finance
  • Align the quantitative team with the agile software development method
  • Help in evolving an unproductive quant software development into an agile one
  • Revise the current workflow practice to leverage the efficiency of asynchronous software development
  • Lean startup in quantitative finance

Evaluation of derivative products

  • Evaluation of present value and sensitivity of derivatives in the following asset classes
  • Derivatives on equities, equity indexes, ETFs
  • Derivatives on foreign-exchange rates
  • Interest-rates derivatives
  • Vix derivatives and volatility derivatives
  • Credit derivatives
  • Derivatives on commodities and energy (electric power, gas, oil)

Integration with QuantLib, the open-source financial library

  • Integration of the C++ QuantLib library with the proprietary software or legacy software
  • Creation of spreadsheets using the Quantlib excel add in
  • Scaling Quantlib on a cluster architecture

If you are interested in working with QuantIsland write to me using the contact form.