Quantitative Products Analytics develops models for the pricing and hedging of flow equity derivatives and structured equity derivatives and equity-linked derivatives. Model development consists of defining the mathematical framework within which structures requested by the business can be evaluated. Once this is done, it is implemented in software and made available to the business. The complete library of models developed by QPA is used for pricing, trading, hedging and risk management applications throughout the Global Markets division, for both flow and structured derivatives. As well as model development in support of short-term business needs, QPA undertakes research projects which look ahead to the longer term. These projects are typically either more advanced model frameworks for existing structures or models for more sophisticated structures. Amongst the current research projects are stochastic volatility modelling, liquidity and transaction costs, hybrid derivatives, numerical schemes and parallel computation. QPA provides quantitative support to Deutsche Bank's Global Markets Equity businesses world-wide.

QPA consists of 10 people in London. The members of the group mostly have PhDs in Mathematics, Physics or Computer Science. Without exception, they had established proven track records in other investment banks and/or software houses before joining QPA, demonstrating a very strong background in stochastic calculus, numerical analysis or both.

The group is linked to the recently-founded International Research Institute Mathematics for Key Technologies: Modelling, Simulation and Optimisation of Real-World Processes in Berlin, funded by the German Research Council (DFG) (web site) and to the Mathematics of Finance project at the International Research Institute in Mathematics and its Applications (IRIMA) at the University of Swansea, whose patron is Professor Michael Atiyah. (The prospectus and web site provide more information.)

Members of QPA collaborate with mathematics departments at top universities in the field of stochastic calculus in Europe and the United States. Recent collaborations of this type include the universities of Bath, Berlin, Bonn, Paris and New York (Columbia). The purpose of these contacts is to foster connections and the exchange of ideas between Deutsche Bank Quantitative Products and these institutions.

Members of QPA have collaborated on three publications. The most recent, Equity Derivatives: Theory and Applications was published in December 2001 by Wiley. The two earlier books were published by Risk Publications: Modelling and Hedging Equity Derivatives and Equity Derivatives and Market Risk Models.

Furthermore, a fourth book, Equity Hybrid Derivatives is under development for Wiley, dedicated to the memory of those who died at the World Trade Centre on September 11, 2001.

Articles have been written or are currently in preparation for publication in Journal of Derivatives, Risk Magazine and Journal of Computational Finance. Members of the group also have reviewed various articles submitted to the important journals. Members of the group regularly make presentations at conferences organised by Risk, GARP and ICBI and attend academic conferences in pure mathematics and finance.