Cambridge-Kaiserslauern, Financial Mahemaics Workshop 2009 Fraunhofer ITWM, Kaiserslauern 05.05.2009 Sochasic Volailiy Opion Pricing ASAP Dr. Ulrich Nögel, Parner u.noegel@devne.de
Disincive Financial Indusry Know-How DEVne is an IT and Business consulancy company offering services for he financial services indusry wih focus on sofware soluions for rading, risk managemen, risk conrol, accouning and back-office. DEVne provides designaed expers wih long sanding experience covering analysis, design, implemenaion and inegraion of: Fron-o-back rading plaforms Pricing and risk managemen frameworks Marke daa sysems Efficien marke access infrasrucures Daa-warehouse soluions for accouning and risk managemen Fron office inerfaces o downsream applicaions for accouning, risk managemen, mid- and back-office ec. Addiionally we provide managed services for rading and risk managemen plaforms. Our delivery excellence is paired wih proven projec managemen skills. Excellence In Technology Technical excellence is one of he cornersones for DEVne s success since is foundaion: Java and.net based sofware archiecures Messaging echnologies and proocols Transacion sysems, real-ime and disribued applicaions Daa-warehouse archiecures and business inelligence applicaions Large scale grid compuing archiecures These are jus a few areas where DEVne can proof is compeence, paricularly when i comes o sysem implemenaions of large scale or wih challenging business and echnical complexiy. The echnical excellence supplemened wih ousanding business experience and knowledge abou indusry sandards enables DEVne o specify, design and o develop mission criical inegraed IT-soluions as well as o provide hem as a service. Parnership And Nework DEVne is made up of parners and is organized as an associaion of expers. DEVne gives excepional people he chance o be fully inegraed and responsible for he company s success and fuure. As every parner is an enrepreneur himself all DEVne members are highly commied o heir duy and compleely responsible for heir work. Through our large nework of collaboraion parners we are able o answer quickly any specific quesion and o find an appropriae and efficien soluion. We are coninuously in exchange wih leading consulancies and echnology firms on recen developmens and rends, e.g. KPMG, Microsof. DEVne has buil a repuaion for srong commimen o he success of our projecs, much o he benefi of our cliens. Wih a successful hisory of delivering on largescale projecs, DEVne has proven ha combining reliable conceps of compuer science wih sound business experise empowers innovaive IT soluions. This undersanding has changed radically he way we look a challenges firs and foremos in he financial indusry. I is he reason why we inves effors and resources working on nex generaion sofware soluions. 2
Personnel 90 consulans (as of January 2009) are currenly working in DEVne projecs. These include furhermore 35 DEVne parners wih srong echnical and financial indusry experience. Managemen Our collaboraion nework consis of IT specialiss and business expers all companions have proven experience in he IT or financial indusry. In addiion, DEVne uses exper know-how and manpower from cooperaion parners in order o saff projecs quickly and efficienly. d DEVne is currenly running projecs in Munich, Frankfur, Hamburg, Luxembourg, London, Moscow, Vienna, Sockholm and Isanbul. Our main Offices are locaed in Augsburg and Munich. Andreas Koko Managing Direcor Business Developmen Theofanis Alexandropoulos Managing Direcor Technology & Engineering Theo Maier Managing Direcor Professional Services Seleced Cooperaion Parner: Fraunhofer Insiue ITWM Quaniaive Finance KPMG Business Cooperaion Microsof Corporaion Technological Cooperaion 3
Financial Soluions Sae of he Ar Know-How in Quaniaive Finance Cooperaion wih Fraunhofer ITWM Academic nework for sae of he ar research Full cycle of financial soluions Producive Sysem Business and Workflow Analysis Quaniaive Analysis Inegraion ino fully producive marke daa and fron, back, mid and risk office sysems Sysem Inegraion Sofware Developmen Financial Soluions Sae of he Ar Research Model Developmen Sofware Design and Archeecure Prooype/ Proof of Concep 4
Main Projecs and Curren Indusry Cliens Seleced Projec Descripions ABN Amro Allianz Assenagon S.A. Luxembourg, München Bayern LB Caceis Bank Deuschland GmbH Commerzbank Deusche Bank 5 HSH Nordbank AG HypoVereinsbank member of UniCredi Group Hypo Real Esae Holding AG Münchner Rück Sociéé Générale Securiies Services MIB UniCredi Goup Vaenfall Trading Services Fron-o-back risk managemen plaform for a srucured fund asse managemen company Design and implemenaion of a muli-locaion rading and risk managemen soluion. This soluion includes fund pricing and srucuring, posiion keeping, VaR and sensiiviy analysis, sress esing, fund compliance, adminisraion, accouning and reporing, daa auomaion o cusody plaforms ec.. Enerprise-wide risk managemen plaform for a major European bank Design and implemenaion of a enerprise-wide risk managemen plaform covering Marke Risk, Counerpary Risk, Operaional Risk and Basel II for all business locaions worldwide. The soluion includes a scalable business inegraion plaform consolidaing daa from all fron office sysems like Murex, Kondor +, Fron Arena Sophis ec., a cenral Marke Daa Service based on Asse Conrol and a Risk Engine for VaR calculaion and aggregaion. Mid- and Back-office plaform for major securiy service KAG Implemenaion and regular exensions of Mid- and Backoffice plaform based on SimCorp Dimension. Migraion of all business processes, funds and relevan daa o new plaform. Marke daa plaform for an energy rading corporaion Analysis and redesign of a large marke daa plaform for an energy and power rading company. Sraegic soluions for he risk office wihin markes and invesmen banking division Design and implemenaion of a soluion for posiion and rade reconciliaion as well as for P&L explanaion across several FO plaforms. Fron-o-back rading and risk managemen plaform for derivaives division Design and implemenaion of a fron-o-back rading and risk managemen framework for srucured cross-asse derivaives including an inegraion plaform for downsream sysems and reconciliaion wih oher fron office sysems like Fron Arena ec. Trading and risk managemen soluions for EEMEA equiy derivaives rading business Design and implemenaion of applicaions for EEMEA derivaives rading. Services include developmen of new risk managemen applicaions, risk models for illiquid derivaive markes, EEMEA marke daa plaform and exensions o FO sysems Sophis and ORC. ALM soluion for an inernaional commercial real esae bank Funcional migraion of a legacy applicaion ino a Fron Arena based plaform for ALM. Funcional specificaion, echnical design and implemenaion incl. inerfaces o relaed sysems like SAP o auomae daa flows.
Advanced Sofware Technology Advanced Asyncronous Componen Technology (AsCoT) Based on Microsof.ne Componen Technology and C# Types of IOC Inversion of Conrol Framework manages objec lifecycle Asynchronous Even Driven Archiecure Inversion of Conrol (IOC) Principle Lighweigh Conainers and Dependeny Injecion Dependency Lookup Objecs implemen conainer specific API o be populaed Dependency Injecion Objecs populaed via language level depencendy Superior, scalable and mainainable soluions for prooyping andproducive sysems Seer Injecion Objecs populaed via C# properies Dependency Injecion Objecs populaed via language level depencendy 6
Asse Srucuring and Appraisal Plaform (ASAP) Resrucuring and furher sofware developmen and inegraion ino producive sysem Model World/MC Pahs Heson Pricing Tool Produc/Payoff Specificaion (C#) S + 1 = S (1+ ( r q ) + σ Z 1 Flexible payoff consrucion, early binding v + 1 = v + ( κθ v ) + v η Z 2 Resrucuring Model pahs for differen models Produc/Payoff Specificaion (XML) Hisorical Pahs Auomaic backesing& srucuring ASAP Componen based, lae binding, XML orchesraion Inegraion ino producive sysem archiecure <?xml version="1.0" encoding="uf-8"?> -<Insrumen> -<Name>EUCall</Name> <InsrumenID>EUCall</InsrumenID> <Currency>EUR</Currency> <NoionalAmoun>100</NoionalAmoun> -<NamedDaes> -<NamedDae> <Name>SrikeDae</Name> <Dae>19.12.2008</Dae> Insrumen Reposiory 7
ASAP Archiecure ( ), Munich 8