|Pricing Partners Releases the Miri Benhamou Gobet Model - Sep 10|
Pricing Partners Releases the Miri Benhamou Gobet Model
Pricing Partners (www.pricingpartners.com), the independent valuation expert and a world leader in mathematical models for valuations of derivatives and structured products, announced today that it has released the Miri Benhamou Gobet model in its analytics suite, entitled Price-it®.
The Miri Benhamou Gobet model as explained in seminal publications is a combination of local volatility and jump model. Thanks to its local volatility feature, it can capture and calibrate very effectively smile volatility surface. But its jump component takes into account forward smile skew and short term dynamic that can be very different from the one generated by a pure local volatility model.
Eric Benhamou, CEO of Pricing Partners comments: “We are proud to continue releasing cutting edge model. With the arrival of the Miri Benhamou Gobet model, Pricing Partners users will be able to improve the accuracy of their pricing by capturing short term jump behaviour while keeping the richness of the local volatility effective calibration. With this new model, the Pricing Partners library strengthens its position as the best commercial pricing library”
The Miri Benhamou Gobet model will be available on equity, fx, commodity in Price-it Excel, Price-it API, Price-it Source and Price-it Online.
About Pricing Partners
Set up by former professionals of the trading industry, Pricing Partners offers accurate solutions for derivatives products valuation, pricing tools and risk analytics with full transparency.
Pricing Partners delivers:
Pricing Partners offers cover commodity, credit, equity, fixed income, fx, funds, inflation, interest rates, life insurance and hybrids OTC products. They are widely adopted by investment banks, asset management firms, hedge funds, corporations, pension funds, fund administrators and audit firms.
Pricing Partners holds offices in Paris, London, Singapore and Hong Kong. Its solutions have been ranked number 1 in Pricing and Analytics by Structured Products Magazine in 2010.
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