Needs for derivative transactions are becoming increasingly sophisticated and diversified as a means to raise the corporate value by risk management and to modify the investment risk-return structure. We develop and verify a pricing model, analyzing a hedge strategy, and designing and developing a risk measurement engine to support the derivative business of financial institutions, including some of mega banks.
Also, we offer consulting services, including asset valuation and risk analysis, for investment companies whose portfolio contains securities embedding derivatives, and we offer risk analysis for general corporations which are exposed to risks inherent in purchases/sales of goods, fund management and fund raising.
Interest Rate Derivatives
Derivative transactions whose underlying is the interest rate are basic financial products which are most actively traded. We utilize the latest theories in our research, including the development of multi-factor market models which represent the term structure of interest rate and the smile (skew) structure of volatility and the development of a stable method to calibrate parameters.
We integrate computing techniques, including high-speed numerical calculations and simulation methods, and deploy those technologies in practical businesses. We also develop exotic derivatives that constitute structured bonds.
Currency Derivatives & Equity Derivatives
A variety of products are traded in the market of derivatives whose underlying assets are traditional financial products such as currency or equity.
We develop financial technologies, especially for currency derivatives, to conduct a research reflecting actual market by using stochastic volatility models and jump models, to analyze efficient dynamic hedge and static hedge methods, and to provide products that meet customer needs, including derivatives such as currency derivatives combined with interest rate or options with irregular barriers.
Underlying assets of commodity derivatives include energy, e.g. crude oil; metals, e.g. aluminum and platinum; and agricultural products, e.g. soybeans.
Japanese financial institutions have short history in trading commodity derivatives as compared with trading of financial derivatives based on interest rate and currencies, but from an early stage we have been progressively researching commodity derivatives including development of pricing models.