24.04.2015
Updated vols and probabilities
Quick and dirty update in Resources as usual. Regime change confirmed for Eurostoxx skew decay.
18.12.2014
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...
PS 3.1 coming out now with important new feature added to the VolManager Read more...
Recent Blog Entries
In the big scheme of things...No summer panic in the major volsurfacesOptions traders... the last of the perma-bears?Implied Probabilities and Structured Products – a rational approachDavid Rosenberg investment outlook
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Latest news
Software:1.7.0 Beta released.
Posted by Alberto Cherubini - 11 Oct 2012
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.
Posted in Latest news
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Funny image
Posted by Alberto Cherubini - 13 Sep 2012
... added. Well, it seems funny to us...
Posted in Latest news
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Consulting update
Posted by Alberto Cherubini - 31 Aug 2012
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.
Posted in Latest news
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Software release 1.6.0
Posted by Alberto Cherubini - 15 May 2012
Introducing new installation and licence management system. Improvements in various functionalities.
Posted in Latest news
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Consulting update
Posted by Alberto Cherubini - 01 May 2012
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.
Posted in Latest news
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Training update
Posted by Alberto Cherubini - 01 May 2012
Several courses delivered in March, April and May both publicly and in-house, in London, New York and Singapore
Posted in Latest news
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More downloads for member
Posted by Alberto Cherubini - 06 Mar 2012
Added more documents for members to download, and updated existing ones
Posted in Latest news
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Software release 1.5.2
Posted by Alberto Cherubini - 04 Mar 2012
Added support for different culture date formats, and more speed-ups
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University of Bologna
Posted by Alberto Cherubini - 27 Feb 2012
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.
Posted in Latest news
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New release 1.5.0 - new tools
Posted by Alberto Cherubini - 07 Feb 2012
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.
Posted in Latest news
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Updated Training Section
Posted by Alberto Cherubini - 06 Feb 2012
The training section has been updated to reflect latest offerings - in particular, added two new courses currently being delivered both in-house and publicly
Posted in Latest news
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New release
Posted by Alberto Cherubini - 04 Jan 2012
Releasing 1.4.8 to fix a minor bug in a menu
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New release
Posted by Alberto Cherubini - 23 Dec 2011
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)
Posted in Latest news
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In-house course
Posted by Alberto Cherubini - 30 Nov 2011
Correlation trading and risk management being delivered in house in Brussel 1,2 Dec
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New course
Posted by Alberto Cherubini - 24 Nov 2011
EQ DER 1: vanilla course. Running public 5,6,7 Dec in London via LFS
Posted in Latest news
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