Quantitative Products
Analytics produces the GME
Analytics library : with more than 2000 users on 9 platforms,
it is the premier analytics suite for pricing and risk management
of equity-linked derivatives within the Global Markets division
of Deutsche Bank, world-wide. The group has responsibility
for the fundamental mathematical modelling of equity-linked
derivatives and for implementing these models as tools for
trading, structuring and sales functions. The product range
includes equity derivatives, flow derivatives, cross-asset
class derivatives, convertible bonds and others.
In addition, the group
carries out longer-term directed research projects.
Amongst the current fields of research are stochastic
volatility and other advanced models, equity hybrid
modelling, (including credit and interest rate hybrids,
defaultable securities and commodity hybrids), fund
derivatives and options on CPPI strategies, fast and
higher-order numerical approximation methods, hedging
under constraints and parallel computation.
Quantitative Products Analytics (QPA),
and the Quantitative Products Engineering (QPE) operate in close
collaboration in areas including the evaluation of new
modelling developments and generic pricing tools. The QPA group has published
three books on equity derivatives since 1999. A fourth
will be published in 2006.
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