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.

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.