|Pricing Partners Offers New Methods to Generate Large Volatility Surface - Nov 2011|
Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuations, announced today that its award winning Price-it© has been upgraded to provide analytical tools to compute large volatility surfaces from option data provided by systems like Thomson Reuters 3000 Xtra© or Eikon©.
Indeed, one of the difficulties when pricing structured products is a lack of large volatility surfaces on equity, fx or commodity products. Leveraging the Gatheral smoothing method, Pricing Partners solution enables its end-users to generate reliable and large volatility surfaces. The firm benchmarked successfully its ‘synthetic’ market data with real market data. These new analytical tools are shipped with Price-it© Excel and allow creating volatility surfaces from strikes 10% to 200% and maturities up to 30 years.
Eric Benhamou, CEO at Pricing Partners comments: “Some of our clients were struggling to find accurate market quotes when pricing equity, fx or commodity products. We are contributing our efforts to find the best analytical tools to do better and smarter interpolation and extrapolation on the market data to access solutions like Thomson Reuters 3000 Xtra© or Eikon©. This is a must-have tool for derivatives end users that have limited access to market data but still want to have an accurate and robust price discovery mechanism. This should help them save substantial amount of time and money in pre-trade operations.”
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 the overall winner in Pricing and Analytics by Structured Products Magazine in 2010 and 2011.
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