Mathematics for the Financial Economy

As the department of Financial Mathematics at the Fraunhofer ITWM we can rely on a portfolio of successful projects with banks, insurance companies and other financial service providers.


Since 2001 the department of Financial Mathematics forms an independent department at the Fraunhofer ITWM. We offer extensive consultancies from market modelling over providing computational cores and simulation-tools to a complete software solution.


On the one hand we offer classical topics from financial mathematics such as valuation of options, derivatives and portfolios. On the other hand, to support our clients, we provide consultancies and software solutions on various fields such as risk management, market modeling and pension plans.

Example Projects

 

Sustainable Finance

One of the main global issues is sustainability. In the financial sector, too, a separate sector has been formed under the name Sustainable Finance, which is becoming increasingly important.

 

Asset Liability Management

The object of the Asset Liability Management (ALM) is the financial optimization of the balance positions with respect to the return, risk requirements, liquidity obligation, etc

 

ALMSim-Pathgenerator: Simulation of market Scenarios and Contracts

The software ALMSim-Path generator, developed by Fraunhofer ITWM, allows the simulation of market scenarios and pension contracts.

 

Risk Management

Risk management and risk reporting are constantly challenging financial institutions. Thereby the tasks range from the calculation of risk indicators (e.g. Value-at-Risk (VaR)) and the execution of stress tests to some backtesting.

 

Valuation of Derivatives and Portfolio Optimization

Portfolio optimization and the valuation of derivatives as well as structured products are main subjects of financial mathematics.

 

Structured Note Pricer: Valuation of Structured Financial Products

In the financial world, structured interest rate products become more and more exotic. Additionally, the number of data to be processed is growing.