Below is a list of several recent Cayuga Research client engagements.
Client: Wall Street investment bank
Project:
To develop faster equity portfolio rebalancing optimization algorithms, including transaction costs (which moves the
problem from a quadratic problem to a more general nonlinear problem) and "warm starts" – i.e., using yesterday's
solution as a starting point for today's set-up.
Deliverables: code + report.
Client: Major international container port
Project: To develop algorithms and codes for unloading and loading vessels (designated
transhipment containers) and yard placement.
Deliverables:
Codes, reports, presentations.
Client: Full-service Canadian bank
Project:
To develop optimization algorithms for high-frequency algorithmic (equity) options trading.
Deliverable: Code + report.
Client: Re-insurance company
Project:
To develop a practical methodology to reduce capital requirements with the use of semi-static hedging techniques
Deliverable: Computational results, report.
Client: Japanese financial firm
Project:
To develop a method to rapidly price a portfolio of callable bonds, using parallel computing technology
Deliverable: A verified fast and working code.
Client:
Insurance technology company
Project: To develop
optimization-based auto-fraud detection technology.
Deliverables:
Performance results, fraud ranking lists.