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Opscore Web Service

Two decades in the market have seen ITO33 firmly establish itself as the solution provider of choice for convertible bond specialists. This gold standard is delivered via Opscore, the firm’s front-office solution for pricing, hedging, […]

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American π: Piece of Cake?

An American option can be exercised by its holder at any time he wishes, not just at the expiration date. Textbooks tell you that pricing it in the context of the binomial model is a […]

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Automatic Differentiation for the Greeks

The sensitivities of the value of an option to the model parameters, a.k.a. “the Greeks,” are crucial to understanding the risk of an option position, as well as tasks such as model calibration. Outside a […]

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Product Risk Classification

What is the PRC? The product risk classification (PRC) is a risk indicator that is based on quantitative models. It allows us to compare the financial risk of investment products of different kinds and asset […]

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Order Book Visualization

Tsachi Galanos of Bookmap describes the firm’s novel solution to Limit Order Book Visualization and analysis Roughly two years ago, we shifted our company’s focus from proprietary trading activity, dealing mainly with HFT algorithms, to […]

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All Change

SciComp Inc has been a major provider of derivatives pricing and risk models for two decades. Dean Tallam discusses the firm’s outlook on technology in the quantitative finance space for 2017 We believe financial service […]

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Wilmott Quantitative Finance Technology User Survey

Functioning at the intersection between science and commerce, Quantitative Finance practitioners are integral to the development, adoption and standardization of technology throughout the finance industry. In the aftermath of the global financial crisis, the painful […]