Volmaster 

 

Platform Innovation

Volmaster FX is the only complete and ready-to-go pricing solution natively built around stochastic volatility models. From the ground-up, Volmaster FX was developed specifically for stochastic volatility: as a consequence, for example, the calibration process is naturally streamlined in daily operations; model greeks are defined to represent the risk profile of all option classes in a way that is consistent with a non-B&S world.

Existing software either price options in some form of Vanna-Volga methodology (a dubious practice as there is no underlying model) or they come as 'empty boxes', leaving the burden of development on the final customer. However, the integration of stochastic volatility models into systems conceived in a B&S world opens a number of consistency issues. What's the combined vega of a vanilla priced on the B&S smile and a barrier option priced in stochastic vol ? Why the value of a knock-in option has a discountinuous jump when triggering into a vanilla?

Volmaster FX is internally consistent as it was conceived and built for today's advanced models, a complete turn-key solution for your desktop.

 

Numerical Computation Breakthrough

The key breakthrough of Volmaster is the development of a proprietary computation methodology. While Volmaster relies on the latest academic research for implementing the pricing models (the mathematical description of the stochastic evolution of the spot over time), we adopt an innovative numerical approach to the pricing methodology (the pricing of a contingent claim on a particular model). It is very well known that for complex models there is no analytical solution, so all pricing tools shall rely on numerical methods, such as finite differences or monte carlo simulation. Volmaster FX implements a new computation methodology, many orders of magnitude faster than existing methods, and above all largely model-agnostic.

Volmaster FX breaks the trade-off between speed and accuracy and allows the market community to price options using highly sophisticated models (such as SLV and SLV+J) at unrivalled speed (up to 1000x performance).

 

Scripting and Designing Custom Instruments

Volmaster FX implements patented scripting technologies whereby each organization can define its own custom instruments via a payoff description language. Instruments can then be 'published' to all users of the organization for pricing and revaluation. Analytics based on Monte Carlo simulation (in SLV or other advanced model) ensure that even the most complex and path-dependent instruments can be priced reliably and accurately. The system also offers a proprietary quadrature technique in order to price american style (bermudan, flexible, callable) claims and more in general any claim that is subject to a holder choice.

 

Parallel Processing

Volmaster FX takes advantage of the latest parallel processing technology. Our servers run with massively parallel processing units and we are at the forehead of technological innovation. Volmaster has embraced from the very beginning the parallel processing revolution, by implementing the solution with Nvidia Cuda parallel processing language.

On the client-side, Volmaster FX is completely multi-threaded, allowing users to work at the same time and independently on as many windows as they need. Users can literally work on dozens of pricing forms at the same time and in a parallel fashion, greatly improving productivity.

 

Client Virtualization

Volmaster FX client-side application is deployed through the internet, following the business model of software-as-a-service (SaaS). It is a true Windows application, not a simple tool running in a browser. This allows a real-time interaction with the user interface and a true control over the application.

Volmaster FX runs safely and isolated in your pc , thanks to the latest virtualization technologies. We use Microsoft and Code System virtualizations to ensure the highest level of security and IT compliance.

Volmaster FX can be launched from our website, with a click-and-go experience. Volmaster FX is automatically updated to the latest version and does not require any installation, configuration, maintenance. Just login on our website and run the application. (on request, a traditional .msi deployment is also possible)

Finally, Volmaster FX uses the latest encryption technologies for client-server communication, implementing the highest security standards.

 

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