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Nowadays, innovative and sophisticated financial instruments as well as structured products are introduced by major banks at an astonishing rate. These derivative contracts are with complex features and customized financial models are necessary to assess their fair values. With thorough understanding and solid experience in appraising financial derivatives, Grant Sherman team specialises in developing tailor-made financial models and solutions for sophisticated derivatives valuation.

Common financial models used for valuation of the following financial derivatives include Black-Scholes option pricing model, Binomial option pricing model, Monte Carlo Simulation Model, Real Option Model, Merton Model for default probability or combination of the above.

  • Employee Share Options (for listed or unlisted companies)
  • Corporate Bonds / Notes and Preference Share (for listed or unlisted companies)
      – with conversion features
      – with early redemption rights
      – with extendable options, etc.
  • Financial Guarantees
  • Interest Rate or Currency Derivatives
  • Equity-linked Notes
  • Credit Default Derivatives
  • Interest Rate Swap
  • Accumulator