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
EQF software suite
The quantitative functionalities needed when dealing with equity derivatives:
- vanilla and exotic options, including multi-underlying user-defined payoffs
- pricing and valuation
- risk management
- calibration of input data(such as implied volatility surfaces and forwards) to market prices of derivatives
- scenario analysis and stress tests
- easy integration with existing in-house system, external feeds and databases
Typical users:
We originally intended our tools for the buy-side, but their quality is such that our main customers are now sell-side. Overall, examples are:
- Derivative trading banks, especially Tier 2 and 3:
- Derivative trading desks
- Structuring teams
- Risk managers
- Product control
- Model validation
- Buy-side institutions with experienced derivatives staff:
- Sophisticated asset managers and pension funds
- Hedge Funds specialising in volatility trading, option strategies, and even exotics
- Risk managers, product control, model validation teams
- IDB brokers
- SP brokers - see SP services