19 January 2018
visit http://response.ncr.com

Xenomorph introduces implied volatility surface analysis module

21 June 2006  |  3247 views  |  0 Source: Xenomorph

Xenomorph has today announced the release of a new implied volatility surface analysis module for Xenomorph's TimeScape data and decision management system.

The module has been developed in conjunction with several major investment banking and hedge fund clients and enables drill-through statistical analysis of historical volatility surfaces.

The new volatility surface module takes advantage of TimeScape's unique ability to store not only prices, but also complex data over time. The module is currently being used to exploit arbitrage statistical arbitrage opportunities in derivatives trading and to provide enhanced pricing and risk management of derivatives portfolios.

Chris Budgen, Xenomorph's Chief Technical Architect, says "Why should time series storage of data be limited to simple data types such as numbers representing prices and yields? TimeScape XDB has been designed from the outset to make it easy for both business and IT professionals to store, analyse and benchmark against all kinds of complex financial markets data. The addition of the implied volatility surface module is a validation of this premise and one that is already delivering real value to our clients."

Comments: (0)

Comment on this story (membership required)

Related company news


Related blogs

Create a blog about this story (membership required)
visit www.thomsonreuters.infovisit www.capgemini.comvisit www.vasco.com

Top topics

Most viewed Most shared
Europe begins Open Banking era in subdued styleEurope begins Open Banking era in subdued...
11224 views comments | 32 tweets | 38 linkedin
Crypto mining threatened by power capacity concernsCrypto mining threatened by power capacity...
10336 views comments | 17 tweets | 18 linkedin
Wells Fargo to close 900 branchesWells Fargo to close 900 branches
9941 views comments | 14 tweets | 16 linkedin
KFC introduces Bitcoin BucketKFC introduces Bitcoin Bucket
9401 views comments | 18 tweets | 16 linkedin
FinTech Scotland appoints new CEOFinTech Scotland appoints new CEO
8490 views comments | 8 tweets | 6 linkedin

Featured job

Competitive base + commission + benefits
UK or Germany

Find your next job