follow us on LinkedIn

Uploaded DBK, AAPL pics of volsurface fits today. Aggregated fitting pics in their own folder.

"Trading realised variance using listed vanillas" recently published - see more and download here

Streamlined with list of new and updated courses. Note: software pages, which describe our main business, are in process of being updated 

Late, and mercifully short.  Read more...

Large numbers of new features. Too many to list

Quick and dirty update in Resources  as usual. Regime change confirmed for Eurostoxx skew decay.

Some you win, some you lose: a short summary of our year.
PS 3.1 coming out now with important new feature added to the VolManager Read more...

Short blog out on structural changes in volsurfaces

A quick approximate update of the "Resource" pages.

3.0 is rolled out, after long period of beta testing. Comprehensive revamp of most features, and significant new ones added

We are now providing risk services for Structured Products users.

Contact us to discuss.

The big-picture talk "From delta1 to exotics and back - An apologia or an elegy for EQD?" was allegedly appreciated at conference below. Contact Alberto if you'd like a copy

We're speaking at this London eq-der conference, and will be in Singapore 3rd-8th May (contact us if you'd like to meet)

Updated resources, short blog on implied volatility behaviour in summer and over the EM / tapering funk

Updated resources (probabilities and vols): skews keeps on  flattening, longer vols creep up despite spots up.
Also updated: feedback, and touched up the software pages.

and added some pictures

In Reuters today - nothing earth shattering, just a comment on skew and market dynamics and positioning

Nice to hear our volsurfaces are top in Totem submissions. Some other feedback added here

Posted two pieces in structured product blog and updated probabilities and vols

Version 2 of our software is out. Major release with many upgrades, including:

 

• New improved volsurface model (EQFB2), extends the global fitting region to the short maturities (~1 month)
• Multi-yieldcurve framework introduced: application to OTC pricing and structured products
• VolManager:  additional fitting tools, including dividend futures and synthetics
• Data Management: all market data now viewable and editable in pop-ups, timestamps and tags added, simple tools for saving and loading from DB  

 

Improved the glossary, and added an italian version (thanks to one of our students at Bologna University)

here

here

Added a simple glossary, still to be improved. Let us know what you would like to see in it.

Added probabilities tables from option prices to the Resources. Formatting to be improved

We have started to upgrade the website, adding more free resources, feedback etc. During this period, some of the new pages will be "under construction" - Hopefully this should create no problems, thanks for your patience.

Finalised asymptotics - now fitting eurostoxx even at 10 days, and doing well even with the high OTM calls in long term SPX. (See some pictures in the download area).

We'll get round to release officially in the new year, together with all the other new features. Already available in Beta. 

Interview on theoptioninsider talkshow of 9-Nov is here, from minute 14

We have been working and testing on our improved volsurface model and it seems to keep on doing v well. Good fitting with only global parameters from one month expiries to several years. We'll keep on testing it, now out in beta (1.7.0). Get in touch if interested to try it. Some pictures done in august on SPX listed options.

 

Improvement to the volsurface model which extends the good fitting area to the very short maturities. Introducing the multi-yieldcurve framework, and much more.

We still consider it BETA: so let us know if you'd like to try it.

When we are happy with the final details, it will be a major release. 

... added. Well, it seems funny to us... 

We have completed advisory work for a bank on whether to set up an equity derivative business from scratch (and how to). A separate project has seen us involved as expert witnesses.

Introducing new installation and licence management system. Improvements in various functionalities.

At the moment most of the interest, both sell-side and buy-side, is in volsurface modelling (e.g. illiquid underlying) and calibration of forwards and discount factors, including collateral/credit effects.

Several courses delivered in March, April and May both publicly and in-house, in London, New York and Singapore

Added more documents for members to download, and updated existing ones

Added support for different culture date formats, and more speed-ups

Delivered this year's course on Equity Derivatives at Master in Financial Math of Bologna University. Strong students, now looking for stages. Get in touch if interested.

EQF Addin and VolManager: new tools to build yieldcurves from different sources (OIS, IRS, futures, etc), comparing them and analyising consistency vs. option-markets quotes. 

 Also speed-up of auto-fitting and other improvements to user-interface.

The training section has been updated to reflect latest offerings - in particular, added two new courses currently being delivered both in-house and publicly

Releasing 1.4.8 to fix a minor bug in a menu

We are releasing 1.4.7 for EQF Addin (minor bug fixes) and VolManager (improvement to user interface, especially date schedules editing, referenced OTC quotes, etc)

Correlation trading and risk management being delivered in house in Brussel 1,2 Dec

EQ DER 1: vanilla course. Running public 5,6,7 Dec in London via LFS

 EQF Addin and VolManager versions 1.4.4 out now

 Correlation Trading and Risk Management: public session in London on 10 and 15 October via LFS. Places might still be available.

 Week-long bespoke in-house training delivered to major bank in Bogota, Colombia

Correlation Trading and Risk Management: public session in NY on 22 and 23 September via LFS. Places might still be available. 

VM is now officially out of beta testing and in production for equity indexes. Final beta testing for single stocks ongoing.

Upgraded: data management, integrated datastore, Scenario Sets, quantos

Link to ICFR catalogue

 Latest release of EQF Addin adds functionalities for advanced, multidimensional and multi-date scenario analysis and stress test of equity derivatives portfolios, mantaining the very simple and intuitive user interface

 The VolManager is now being bought even if officially still in Beta

 April 2011:  The VolManager is now in Beta and being used against live market data. Demos available

 Released in EQF Addin in April 2011

 Released in EQF Addin in April 2011. As usual, particular care to treatment of dividend effects and others.

 Strong demand for Correlation Trading and Risk Management. Being delivered both in-house and as a public course.

 Second part of the course in Equity Derivatives for the master in Mathematical Finance at the University of Bologna has finished

Heavy demand recently - several sessions delivered in-house

First part of the course in Equity Derivatives for the master in Mathematical Finance at the University of Bologna begins tomorrow.

Delivered training on "Global Exotic Derivatives" to KOFIA, in Seoul

Software page updated to reflect current product line.

some upgrading in training and consulting pages.

A full update of the software page is now overdue, as the software product line is growing

Software tools: the generic Pricer is now ready and has been shipped to clients as an Excel addin. 

Public course on correlation trading and risk management will be held in London in October via another training company.

https://english.alrroya.com/editors?auth=Alberto+Cherubini

Starting another risk management project

New column out on Alrroya https://english.alrroya.com/node/42791

Briefed financial journalist on OTC regulatory reform at ICFR

https://www.icffr.org/Events/OTC-Derivatives-Reform--Problems,-Proposals-and-th.aspx