Haynesville Consulting
Capital Market
Exploring Global Capital Market Events
In the extremely competitive Capital Market, world events, from the Brexit referendum to the Hurricane Katrina, accelerate the high-volatility market movement.
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However, Capital Market analysts can turn this opportunity into profits. A systematic research
has the ability to recognise the consistent characteristics of these events and take advantage of these opportunities when begin to unfold.
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If you are interested in adding a global Capital Market perspective to your professional profile, Haynesville Consulting can explore this opportunity with you.
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Quantitative Analytics
Analysing the Negative Pricing World
The fundamental theorem of arbitrage-free pricing is one of the key theorems in Quantitative Investment, while the Black–Scholes model is amongst the key results.
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The Black–Scholes model assumes that the price of the tradable underlying assets is positive and follows a geometric Brownian motion. However, this broadly-used theorem will be misinterpreted when:
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Interest rate becomes negative: Euroswiss STIR (2011)
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Commodity is pricing negativly: WTI Crude (2020)
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What changes required to re-define quant modelling to tackle negative pricing? Let's guide you through.