GFI Adds Next-Gen Exotic Pricing Models to Fenics

mathematics
The new quantitative models enhance Fenics’ exotic analytics offering

London-based interdealer broker GFI has launched a new version of its Fenics FX options pricing and risk tool with enhanced mathematical models, including a Local Stochastic Volatility (LSV) pricing model to enable users to price complex exotic options, as well as support for Target Accrual Redemption Forward (TARF) options.

The new functionality, which GFI has added to Fenics in response to requests from customers, is currently in soft launch phase, ahead of an imminent rollout to the broker's wider client base.

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