Quantitative Finance Group: FICC Model.
We have developed a multivariate input simulation using stochastic volatility, crude oil prices, and the dollar index as the input variables for a model that sources the major markets of the world for opportunities for above average profits. The model reflects the sentiment of the global financial markets.
The models outputs: equities, currencies, fixed income instrument as well as commodities. The outputs will be stressed tested against several benchmarks for correlations and covariance determination.