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.