Mathematical Finance Company

We provide an economic scenario generator for stochastic simulation of scenarios of yield curves, equity returns, exchange rates, and other variables.

Mathematical Finance Company has contributed to basic parts of mathematical finance in university research and in the financial services industry. Its models, methods, algorithms, software, and know-how have been applied in North America, Europe and Asia. Its research has been featured on Ph.D. exams in finance and applied in financial regulation. Its software has been used for valuing financial products, insurance, lines of business, and entire companies. It has been used in the derivatives, insurance, and financial services industries.

MFC's "Economic Scenario Generator" (ESG™)

• Arbitrage-free, two-factor interest rate model that produces yield curve scenarios.
• Calibrated for both the risk neutral and real probability measures.
• Generates other economic variables including: multiple stock indices, dividend yields, inflation, and unemployment.
• Calibrated for multiple countries including the U.S., Canada, Japan, Switzerland.
• The ESG™ System is a modular system designed to work with other systems and to provide output in a conventional form for
  importing into external software systems.

MFC distributes the Finder system for producing Low Discrepancy Sequences (LDS) for use in generating quasi-random variables. On-line tutorial on low discrepancy sequences.