29.09.2016
Refreshed some fitting pics
Uploaded DBK, AAPL pics of volsurface fits today. Aggregated fitting pics in their own folder.
07.09.2016
New Article on Variance Strategies
"Trading realised variance using listed vanillas" recently published - see more and download here
Aims and approach
Many buy-side institutions using derivatives and structured products, as well as some smaller sell-side ones, are making do with poor and antiquated tools for derivatives pricing, valuation and risk management.
Large portfolios of derivatives are often managed without appropriate quantitative tools, fully relying on the counterparties for valuations and risk numbers: an approach which is becoming untenable (not least because of regulatory changes).
We believe that this situation can be improved even without the multi-million budgets available to large banks:
our aim is to provide customers with quantitative tools which, within their range of applicability, are of the highest quality currently available - i.e. at least of the same level, or better, than the in-house libraries of major sell-side banks.We place particular emphasis on:
- ease of use and intuitive user interfaces
- calibration of volatility surfaces and forwards to market prices of traded instruments.
- facilitating scenario and stress analyisis of derivatives portfolios
- easy integration with existing in-house system, external feeds and databases
- clarity on modelling method used, defaulting to the market standard by product type
- clarity on the range of applicability of models and pricers, to avoid mistakes and over-simplification