Fermat Consulting was created in 2008 with the purpose of providing a bridge between academic research and everyday practice by making complex financial mathematical models easy to use. We are specialized in providing pricing services for complex derivatives products and portfolios risk assessment.


News

30-04-10: Fermat is technical advisor of Lehman Brothers (under Chapter 11 reorganization) in litigations on financial derivatives transactions.

15-04-10: Fermat entered in an Partnership with Canonical Software and is committed to officially support Fairmat Academic for Ubuntu Linux.

13-04-10: Fermat has been engaged by Sigla Srl to assess the appropriateness of interest and other expenses they charge on loans in compliance with Italian anti-usury law and to test their hedging policies for derivatives transaction according to IAS 39.

12-04-10: Fermat has engineered and published on the Fairmat website the "Pelsser" squared gaussian model for interest rate modeling. (see plugins area on Fairmat website)

09-02-10: Fermat has created and published on the Fairmat website the “Lattice” open-source plug-in for Fairmat. The plug-in has mainly a didactical aim, and enables Fairmat to price options by using binomial lattices. (download Lattice plugin on Fairmat website)

01-01-10: Cattolica Information Tecnology Service has bought an annual license of Fairmat Server.

27-10-09: Fermat is developing an analysis tool for Cattolica Assicurazioni to meet the Consob requirements described in "Quaderni di Fainanza N.63, A quantitative risk-based approach to the transparency on non-equity investment products", and the "Comunicazione n.DIN/DSE/9025454 of 24-03-2009".

01-10-09: Fermat has developed and published on the Fairmat website a set of open-source plug-ins for the Fairmat platform. The plug-ins implement the Dai Singleton model, the Hull and White and the Heston models. (see plugins area on Fairmat website)

02-03-09: Fermat introduces the Fairmat project, a tool with the aim of beeing used both from students, academics and practicioners, with the objective of increasing transparency in how derivatives products are designed and traded. (see Fairmat website) 


Financial Engineering

Financial Engineering is a growing market in which are continuously created new different types of contracts that private companies need to evaluate and hedge.
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Risk Management

Reliable systems for measuring and hedging financial risk are a high priority for both trading desks and risk managers.
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Analysis Tools

Managing the volatility of financial assets and, in general, the complexity of the financial activity represents a constant challenge for both financial institutions and non-financial firms.
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