Expertise

Analysis Tools

Fermat develops a platform for financial decisions support which goes from capital budgeting and project valuation to derivative pricing. One of the aims of the project is to simplify the effort needed to model financial problems and hence to increase the transparency of how derivatives products are designed and traded.  Fermat Consulting offers a free version of the modeling tool for students and academics (Fairmat Academic), and offers commercial solutions and customizations for back-office practitioners (Fairmat Professional) and institutions (Fairmat Server). For more information see the project website. (http://www.fairmat.com/) By partner shipping with technology integrators, we can also co-develop "ad hoc" software solutions by using the most popular programming languages  in the industry (C, C++, C#, Java, Matlab)   targeted to financial valuation, risk analysis and scenario simulation for internal needs or to comply with regulatory requirements.

Risk Management

Reliable systems for measuring and hedging financial risk are a high priority for both trading desks and risk managers. Fermat Consulting provides advanced tools for the quantitative analysis of financial risk in portfolios of bonds, stocks, loans, currencies, derivatives and structured products. Our risk management techniques are consistent with the most advanced theoretical and practical models available in finance literature. The measurement of credit and market risk is based on the application of sophisticated simulation techniques, which provide sensitivity analysis and stress testing results, useful for the implementation of adequate hedging strategies. We offer solutions for a wide range of practical risk management issues faced by financial institutions, such as the implementation of Asset Liability Management systems, rating systems consistent with the Basle 2 requirements and algorithms optimizing the recovery process of non-performing loans.

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Financial Engineering

We provide consulting and services to companies that need to evaluate, benchmark and hedge the continuously  different types of financial contracts, specializing in the evaluation of OTC contracts. Our independent valuations, monitoring and reports let you  account, price and hedge your portfolios. Aside from consulting, we also develop advanced user-friendlymodeling tools for the pricing of any type of financial derivative contract, including complex interest rate sensitive, equity-linked, inflation-linked, credit-linked and commodity-based instruments. We also deliver custom solutions embedded into financial front office valuation systems, as we can either use our financial modeling tools, with their code-generation features, or write pricing routines directly, targeting the most used programming languages.