OPS TICKER Pricing Partners Releases New Analytical Formulae
June 26, 2012
Pricing Partners releases new analytical formulae. Dion launches dfferentia risk system. Victory renews Citigroup fund service contract.
PRICING PARTNERS: The OTC derivatives pricing analytics, mathematical models and independent valuation vendor is releasing new analytical formulae for options on variance and volatility swaps.
The new formulae are based on new research by Peter Carr, who is managing director, global head of Market Modeling, Morgan Stanley and executive director of Masters in Math Finance Program at the NYU Courant Institute, as well as Roger Lee, associate Professor of the Department of Mathematics at University of Chicago.
They have been integrated into Pricing Partner’s Price-it Excel, such that it can now price accurately and quickly volatility swaps, variance options and volatility options. Further, new dedicated keywords are implemented to enable users to refer directly to these new techniques in their payoff description.
DION GLOBAL SOLUTIONS: The financial software developer has dfferentia: a hosted pricing, valuation and multi-asset class risk management solution for buy and sell side institutions.
The system will reportedly provide more accurate and efficient pricing of OTC derivatives than previously available and has been developed by Dion in response to market demand.
"We have seen the market really struggle with the valuation of OTC derivatives, but with calls for transparency and a move towards central clearing, struggling is not an option,” said Ralph Horne, global chief executive & managing director of Dion, in a statement. “To have any accurate assessment of holdings and exposures, and for risk to be properly managed, firms need a process they can rely on. The continued market uncertainties, increased regulatory oversight and constant evolution of new instruments and structures require market participants to be able to accurately price and manage risk emanating from OTC financial products.”
It reportedly provides access to a number of market-tested pricing and risk models and market data sources; all operating within a collaborative environment, allow it to be deployed rapidly and easily across the trading floor.
Dion has partnered with Numerix, the independent analytics provider for derivatives and structured products. Its Numerix CrossAsset analytics are fully integrated into dfferentia. This gives users access to a comprehensive model library and a highly visible and cost efficient way to compare and contrast hedging strategies.
CITIGROUP: Victory Capital Management has renewed its fund services contract with Citigroup for the Victory Funds.
Citi will continue to provide administration and accounting services to Victory Capital Management and serve as the global custodian and transfer agent to the Victory Funds.
Victory manages $22.7 billion in investment portfolios as of April 30, 2012.