EXPERTISE

QUANTITATIVE FINANCE

Modeling and Pricing

  • Interest Rates, FX/Equity and Inflation

  • Pricing and hedging under multi-curve framework

  • Interest Rates volatility cube construction 

  • Volatility surface calibration

  • Yield Curve bootstrapping
     

Risk Management 

  • Value at Risk calculation: Monte Carlo, Historical and parametric 

  • Initial Margin calculation and backtesting

  • Multi-objective constrained portfolio optimization 

  • Monte Carlo simulation models

DATA SCIENCE

Machine Learning 

  • Supervised Learning, Linear Models,      Support Vector Machine, Decision Trees

  • Assembled Models

  • Unsupervised Learning

 

NLP

  • Text processing

  • Article summarization

  • Entity extraction

  • Word embeddings

Deep Learning

  • Convolutional Neural Networks

  • Recurrent Neural Networks

  • Generative Adversarial Networks

  • Deep Reinforcement Learning

RESERVOIR ENGINEERING

Field Development

  • Optimization of production and reserves  

  • Identification of best drilling targets

  • Optimization of drilling/workovers

  • Evaluation of secondary/tertiary recovery methods (EOR screening)

  • Artificial Lift Optimization/ Well Testing

  • Reservoir Simulation

Portfolio Management

  • Engineering and Economic asset valuation 

  • Multi-objective Optimization of Portfolio 

  • Diagnostic of Oil Field potential value

  • Optimization

  • Uncertainty and risk quantification

  • Data driven methods for portfolio optimization

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