Contribution: Industrial Research Assistance Program – Contributions to Firms
Riskfuel Analytics Inc
$125,000.00
A fully automated volatility surface builder for an asset class
FY 2021-22 · 2021-12-01
Summary
Volatility surfaces are necessary to understand the value and risk of options. In most cases, there are an insufficient number of points to define the entire surface and gap-filling techniques are needed to complete the surface. Currently, gap filling is a manual process which is time-consuming and subject to bias. We propose to build a fully automatic tool to complete volatility surfaces for one asset class, without assumptions or human intervention, using available market data.
Department
Program
Industrial Research Assistance Program – Contributions to FirmsIndustrial Research Assistance Program-Contributions to Firms (linked with high confidence)
Recipient
Location
Toronto|Toronto, Ontario, Canada
Recipient Type
For-profit organization
Business Number
718383888
Type
Contribution
Source
Proactive Disclosure - Grants and Contributions
As published
Additional Information
This agreement has been amended 1 time(s). The total amended value is 125,000 dollars.
Additional Information (French)
Cet accord a été modifié 1 fois La valeur totale des modifications est de 125 000 dollars.
Agreement End Date
2022-05-31
Agreement Number
984187
Agreement Start Date
2021-12-01
Agreement Title
A fully automated volatility surface builder for an asset class
Agreement Title (French)
Un générateur de surface de volatilité entièrement automatisé pour une classe d'actifs
Agreement Type
Contribution
Agreement Value
$125,000.00
Amendment Date
2022-03-02
Amendment Number
1
Coverage
IRAP Contributions to Firms projects stimulate wealth creation for Canada through technological innovation. | Les projets des Contributions aux entreprises stimulent la création de richesse au Canada grâce à l’innovation technologique.
Description
Volatility surfaces are necessary to understand the value and risk of options. In most cases, there are an insufficient number of points to define the entire surface and gap-filling techniques are needed to complete the surface. Currently, gap filling is a manual process which is time-consuming and subject to bias. We propose to build a fully automatic tool to complete volatility surfaces for one asset class, without assumptions or human intervention, using available market data.
Description (French)
Les surfaces de volatilité sont nécessaires pour comprendre la valeur et le risque des options. Dans la plupart des cas, le nombre de points est insuffisant pour définir la surface entière et des techniques de remplissage sont nécessaires pour compléter la surface. Actuellement, le comblement des lacunes est un procédé manuel qui prend beaucoup de temps et qui est sujet à des erreurs. Nous proposons de créer un outil entièrement automatique pour compléter les surfaces de volatilité pour une classe d'actifs, sans hypothèses ni intervention humaine, en utilisant des données de marché disponibles.
Expected Results
The purpose of IRAP Contributions to Firms is to support research, development, adoption and/or adaptation of innovative or technology-driven new or improved products, services or processes in Canada up to their commercialization
Expected Results (French)
Le PARI, par le biais des Contributions aux entreprises, vise à appuyer la recherche, le développement, l’adaptation et/ou l’adoption au Canada de produits, de services ou de processus novateurs ou axés sur des technologies nouvelles ou améliorées, et ce jusqu’à leur commercialisation
Federal Riding
University--Rosedale
Federal Riding (French)
University--Rosedale
Federal Riding Number
35110
NAICS Code
9119
Organization Code
nrc-cnrc
Organization
National Research Council Canada | Conseil national de recherches Canada
Program Name
Industrial Research Assistance Program – Contributions to Firms
Program Name (French)
Programme d’aide à la recherche industrielle – Contributions aux entreprises
Program Purpose
The purpose of IRAP Contributions to Firms is to support research, development, adoption and/or adaptation of innovative or technology-driven new or improved products, services or processes in Canada up to their commercialization
Program Purpose (French)
Le PARI, par le biais des Contributions aux entreprises, vise à appuyer la recherche, le développement, l’adaptation et/ou l’adoption au Canada de produits, de services ou de processus novateurs ou axés sur des technologies nouvelles ou améliorées, et ce jusqu’à leur commercialisation
Recipient Business Number
718383888
Recipient City
Toronto|Toronto
Recipient Country
CA
Recipient Legal Name
Riskfuel Analytics Inc
Recipient Operating Name
Riskfuel
Recipient Postal Code
M4W 2Z5
Recipient Province or Territory
ON
Recipient Type
F
Reference Number
172-2021-2022-Q4-984187
