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

We can help with 3 of the crucial items needed to provide quantitative services in Structured Products:

  • sophisticated "quant" software library for exotic derivative pricing 
  • deep knowledge of derivative markets, including the OTC and IDB markets
  • experienced human operators

Our small size allows complete customisation to customers' needs, flexibility and speed of delivery - whilst the negative side of it can be avoided via standard corporate agreements.  Contact us for further details.

Risk and Valuation

Beyond the price (aka valuation), our tools can calculate Value-at-Risk, scenarios and stresses, easily customisable to individual customers' needs; so as to be integrated into their existing processes and risk management systems.  

The SPIN module: SP's for Investors

A set of tools to analyse SP's from the investor's point of view, producing innovative metrics of risk, performance and value as well as informative and more detailed reports.

These numbers are meant to be clearly understandable by non-specialist users, and hence can be deployed within existing processes by, among others:

  • Asset Managers: for suitability assessment, pre-trade analysis, portfolio management, risk management
  • Distributors: to ensure regulatory compliance e.g. with UK RDR (stressing and appropriateness requirements) or similar EU directives (PRIIPS, etc)
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