The universal local stochastic volatility model with jumps (ULSVJ) will help firms to price and manage semi-exotic derivatives such as barrier options, and should prove particularly useful for market makers in FX and EQ options.
The analytics provider says the new framework can also be employed by hedge funds to match market prices with near instantaneous calibration, and can be used for a range of different options types that can be combined with barriers. It can also be used to complete quantitative modeling that measures or determines fractional difference among local and stochastic volatility, with or without jumps.
“We have put a great focus on ensuring that the Numerix model library and pricing architecture can scale in enterprise risk systems, and we continue to allocate much strategic bandwidth in this area. We’re excited to bring this new functionality to market further enabling a consistent pricing framework that spans a wide range of standard technology platforms and asset classes, fostering transparency throughout the market," says Steven O’Hanlon, CEO and President of Numerix.
The underlying methodology for the framework is based on a modern finite difference approach pioneered by Dr. Andrey Itkin and Dr. Peter Carr.
Victor Anderson, who is in town from London, joins Anthony and James to dig into the key themes from Waters USA.Subscribe to Weekly Wrap emails
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