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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
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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
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