Pricing Partners presents an acceleration method by a factor 100 for the calculation of options at the “Stochastic Processes and Their Applications SPA 2009” conference

Paris - 21 July 2009

Pricing Partners, the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, announced today that the latest research about the acceleration by a factor 100, calculating the price of financial options with a stochastic volatility model, caught the attention of the scientific committee, the 33rd edition of the Stochastic Processes and Their Applications (SPA 2009) Conference, and will be presented during the week of this Conference in Berlin from 27 to 31, July 2009.

SPA 2009 Conference (Stochastic Processes and Their Application) is a major event in the field of mathematic research in stochastic processes and their applications. This event will gather the latest work of significant contributions to basic research and important people working in many areas.

This year for example, the topics addressed will be: the application of stochastic processes in biology, finance, particle physics, climatology, ecology and epidemiology, the study and development of Levy processes, the study and development through the process of stochastic functional inequalities, the calculus of variations, the stochastic geometry, the resolution of stochastic differential equations, algorithms of simulated annealing, the detailed study of stochastic processes and random walks, random matrices, broadcasts highly heterogeneous.

The conference is held under the patronage of the prestigious Association of Research in Mathematics "the Bernoulli Society for Mathematical Statistics and Probability" and the German Institute of Mathematical Statistics. The conference will bring together over 630 participants from 49 countries. Mohammed Miri, quantitative analyst from Pricing Partners will present his latest research work in collaboration with Eric Benhamou, CEO of Pricing Partners and Emmanuel Gobet “Time dependent Heston model”.

Mohammed Miri, quantitative analyst and financial engineer from Pricing Partners comments “It is a great opportunity to share my latest research work on stochastic expansions in this conference. Indeed, the stochastic expansions combined with the calculation of Malliavin empower the explicit calculation of prices on European options with a very fast execution time. This type of approach could solve problems like calibration of models and real-time calculation of options in trading floor.”

Eric Benhamou, CEO of Pricing Partners adds: “Being selected by the strict scientific committee to present some of our research is a strong recognition of our work. I am very happy and proud that we can contribute to the advancements of science in the field of financial mathematics. I am grateful to Mohammed for his high-quality contributions to our research team. With the current crisis, the importance of promptly responding to a more precise modeling of financial risks becomes a major issue. That is why we invest heavily in our R&D team for the purpose of delivering our clients our cutting edge models, software and services including the latest scientific advances. "

Founded by former professionals of the trading floor, working in investment banks like Goldman Sachs, Société Générale, Natixis or HSBC, Pricing Partners has become over the last two years a major player. In October 2008, it launched its Internet independent valuation platform, Price-it® Online, which affirms its leading place in the financial modeling as well as independent valuations provider. Designed for all major assets like Interest Rates, Equity, Inflation, Credit, Foreign Exchange, Commodities, and Life Insurance to Hybrid products, Price-it® comes either as a software or an

Internet Platform, providing all the tools for the transparent valuation on structured products. Price-it® online uses cutting edge mathematical models together with a new language to describe the complexity of any structured products.

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