Financial engineering: innovative math models for exotic options


Exotic options pricing and financial engineering have been the focus of our research and technology development since 1998. We have been working closely with our commercial partner GFI/FENICS in developing and implementing state-of-art market-base math models since 2005. Our work in exotic options pricing covers:


  • Black-Scholes model
  • Local volatility model
  • Heston local-stochastic volatility model (LSV)
  • Log-normal local stochastic volatility model (Ln-LSV)


  • Close-form analytics
  • PDE: finite-difference, finite-element numerical schemes
  • Monte-Carlo simulation algorithms

Option classes

  • Multi-window barrier options
  • Multi-currency basket options
  • Compound, forward-start options
  • Quanto options
  • Multi-currency barrier options