FRANCE – Caisse des Dépôts et Consignations (CDC), the public financial institution, has signed a research contract with Paris based Capital Fund Management’s (CFM) research division, Science & Finance, to implement the researcher’s new methodology for Monte Carlo calculations.
The research group specialises in applying statistical physics to financial markets.
The methodology has been developed by Drs Jean-Philippe Bouchard, managing director at CFM and Marc Potters, head of research at CFM.
According to the company, its new methodology allows the use of faithful but complex methods for market fluctuations and reduces the number of iterations needed to complete the relevant calculations.
This gives accurate option prices and hedging strategies, it says, and can be used for precise risk assessment.
“This new methodology allows one to reproduce as closely as possible the trader’s intuition on option markets, by simulating accurately his possible P&Ls,” says Jean-Pierre Aguilar, chairman at CFM.