Fermat Consulting SRL specializes in providing valuation and analysis services for derivatives products, for the purposes of  pricing,  benchmarking, risk management and hedge accounting.  We  provide both consulting and valuation services and software solutions, making  complex financial mathematical models easy to use.

News

10-01-12: Fermat Consulting launches a preview program for Fairmat Professional, a commercial software solution for analysts and quants! FP enable easily prototyping, assessing models robustness and pricing of any derivative product, and furthermore, FP is connected with market data. Try the preview!

07-07-11: Fermat Consulting releases Fairmat Academic 1.1 and the plain-vanilla plug-in which enables Fairmat to price contracts using the Black model. Read more.

04-11-10: Fermat Consulting releases Fairmat Academic 1.0. In conjunction with this release, a new website section containing projects' templates is available, and  new plug-ins implementing the libor market model and the network switching real options model have been published. Read more...

17-09-10: Fermat Consulting releases Fairmat Academic 1.0 RC. This version contains a lot of new features such as a revised plug-in system, an integrated calibration system and the possibility of modeling option specific discounting. See the project page.

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".

Financial Engineering

We provide consulting and services to companies that need to evaluate, benchmark and hedge the continuously  different types of financial contracts, specializing in the evaluation of OTC contracts. Our independent valuations, monitoring and reports let you  account, price and hedge your portfolios.
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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

Fermat develops a platform for financial decisions support which goes from capital budgeting and project valuation to derivative pricing. One of the aims of the project is to simplify the effort needed to model financial problems and hence to increase the transparency of how derivatives products are designed and traded. Read more...

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) 

 

 

 

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