Ito33
ITO 33 offers two products in the financial services space: Opscore and Volatility Manager.
Opscore is a complete front-office solution for the pricing, the hedging and the analysis of convertible securities. It consists of three components: a data model of terms and conditions, a pricing engine and an excel front-end.
Volatility Manager, on the other hand, is a robust pricing and hedging front office solution based on a proprietary regime switching model featuring jumps, stochastic volatility, and possibly stochastic credit. The underlying price dynamics assume different Brownian volatility and hazard rate parameters (default intensity) in the various regimes.
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Which model for equity derivatives?
Local volatility was, for a long time, seen as being a universal panacea. However, cracks appeared and we have been forced to look elsewhere for a new framework. Philippe Henrotte, co-founder, partner and head of financial theory and research at Ito33, explores the alternatives.