our clients
The following is a short list of some of the institutions that are busy using our consulting, IFRS valuation or model building services or have used our services in the past
Absa Capital; The JSE (South African Securities Exchange - Safex, the Interest Rate Division and Commodity Derivatives); Investec Bank; Standard Bank; Rand Merchant Bank; Network Healthcare Holdings (Netcare - JSE code NTC); Vrystaat Mielies/Maize; Riscura; Witwatersrand Consolidated Gold Resources (Witsgold - JSE code WGR), Venfin Limited, Mustek (JSE code MST).
The following institutions have used our in-house training services
Absa Capital; Standard Bank; Mercantile Bank; KPMG Auditors; South African National Treasury; The JSE (South African Securities Exchange), Africa Vukani, Rand Merchant Bank (RMB).
Recent Interesting Assignments
- Developing a spread based margining system for the daily margining of bond futures and bond index futures traded on exchange
- Developing models to calculate the initial margin requirements for exotic options traded on exchange
- Implementing functional form volatility models for the Safex implied volatility surface; one being a quadratic model and the other the SVI model described by Jim Gatheral
- Studying the shape of volatility smiles for commodity options especially those for corn/maize, oil and gold where these models will be implemented on Safex soon
- Implementing pricing models for exotic options utilizing local volatility models like binomial and trinomial trees as described by Derman and Rubinstein
- Valuation, risk measurement and re-engineering of Lehman Brother's derivative exposure to South Africa - Lehman defaulted in September 2008 during the credit crises
- Valuation, risk measurement and re-engineering of Dealstream's derivative exposure through Safex - Dealstream was a South African brokerage that defaulted during the credit crises of Sep/Oct 2008
- Submitting statements to the Securities Regulation Panel (SRP) and testifying as an expert witness in front of the panel due to a legal dispute emanating from a hostile take-over bid
- Developing a model to value Variance futures (swaps) traded on Safex (South African Futures Exchange)
- Implementing the stochastic SABR (Heston like) implied volatility smile/skew model for the use of options traded on Safex
- Calculating the initial margin requirements for currency futures and interest rate futures traded on the JSE
- Valuation (and creation) of share based incentive schemes (employee option schemes EOS) and phantom share schemes, with their respective expense schedules, for listed companies in South Africa
- Designing a structured derivative compensation package for advisors of a client
- Valuation of and re-engineering of Black Economic Empowerment (BEE) schemes
- Modeling and valuation of equity default swaps (EDS)
- Developing trading and risk management systems for dealers in the treasury environment
- Helping design and advising on new derivative structures - buy and sell side
- Developing a risk management and bench marking system used by pension funds
- In-house training course on programming with Excel VBA - visual basic for applications
- Valuation of guaranteed funding agreements between companies
"But the creative principle resides in mathematics.
In a certain sense, therefore, I hold it true that
pure thought can grasp reality, as the ancients dreamed."