Grants and Contributions:
Title:
A fully automated volatility surface builder for an asset class
Agreement Number:
984187
Agreement Value:
$125,000.00
Agreement Date:
Dec 1, 2021 - May 31, 2022
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.
Organization:
National Research Council Canada
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
Location:
Toronto, Ontario, CA M4W 2Z5
Reference Number:
172-2021-2022-Q4-984187
Agreement Type:
Contribution
Report Type:
Grants and Contributions
Recipient Business Number:
718383888
Recipient Type:
For-profit organization
Additional Information:
This agreement has been amended 1 time(s). The total amended value is 125,000 dollars.
Amendment Date
Mar 2, 2022
Recipient's Operating Name:
Riskfuel
Recipient's Legal Name:
Riskfuel Analytics Inc
Federal Riding Name:
University--Rosedale
Federal Riding Number:
35110
Program:
Industrial Research Assistance Program – Contributions to Firms
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
Coverage:
IRAP Contributions to Firms projects stimulate wealth creation for Canada through technological innovation.
NAICS Code:
9119
Amendments: