Next Generation Volatility Interpolation

B&Cweiß

- Risk Controlling

- Pricing/Trading

- Asset-Liability-Management

- Market Data

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The Volatility Interpolation Tool (VIP) 2.0 calculates arbitrage free vol surfaces with unmatched efficiency.

    Key benefits:

  • 100% no-arbitrage enforcement in strike and maturity dimension(2D)
  • Reproduces good market quotes very well
  • Automatic data cleansing
  • Short execution times
  • Carefully designed extrapolation technique using stochastic vol models
  • 3D visualization and comparison with external vol surfaces
  • Extrapolation of volatilities to extremely short and long expiries
  • Easy integration into client specific infrastructure
  • Data vendor connection provides latest market data
  • Pricing of any strike/maturity combination

                                                                                         

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Volatility surface small Screenshots