Wharton School of Business

One of our partners implemented different Research Software systems at the Wharton School of Business. These included:

1. Software to select optimal alternatives of delta and gamma neutral option portfolios given a user specified maximum value to be spent on the portfolio. This software was used for simulated trading of options. The software was used to kept a delta and gamma hedged position and made money by looking for rich and cheap volatilities.

2. Software which used dynamic programming to evaluate the optimal remittance policy of a multinational company given tax law constraints. The software was used to develop remittance policies between a company and its foreign subsidiary with varying tax structures in the different countries.

3. Software for valuing currency convertible callable bond.

4. Software to do currency content analysis for doing actual foreign exchange exposure of a firm.

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