Derivative Solutions

Equity Derivatives and Pricing Models

Advanced Equity coverage includes exotic and vanilla options (i.e. Asian, cliquets and multi-asset), total return swaps and volatility instruments. Uses local and stochastic volatility models as well as log-normal and normal models.

Whether you are a trader, risk manager, corporate financial analyst, treasurer or auditor, the FINCAD Analytics Suite option models provide the functions you need to manage your equity portfolio risk including warrants, employee stock options and index options. It gives you the power to do all of your analysis on a spreadsheet with the option of using our professionally designed and developed workbook solutions.

OPTIONS – EXOTIC AND VANILLA
  • Asian
  • Average strike
  • Double average
  • Forward start
  • Chooser
  • Compound
  • Lookback
  • Power & quotient
  • Spread
  • Barriers:
    • Single & Double
  • Binary:
    • Single barrier
    • Digital
    • Binary spread
  • Multi-asset:
    • Baskets
    • Cliquets
    • Napoleon
OPTION STYLES VOLATILITY DERIVATIVES
  • American
  • Bermudan
  • European
  • Variance Swaps
    • Conditional
    • Corridor
    • Capped / floored
  • Volatility swaps
  • Variance Options
OTHER EQUITY DERIVATIVES MODELS & METHODS
  • Forwards and futures
  • Swaps, swaptions
  • Employee Stock Option (ESO)
    • Hull-White (basic / enhanced)
  • Warrants – various structures
  • Convertible bonds
    • Vanilla and user-defined deal
  • Total return swaps
  • Local Volatility
  • Stochastic Volatility
    • SABR
    • Heston
  • Black-Scholes
  • Binomial
  • Monte Carlo
UTILITIES
  • Implied calculations
    • Volatility, strike, rates, etc.
    • Goal seek on any parameter
  • Greeks
  • Cash flow functions
  • Dividend to yield conversion
  • Ability to
    • Implement single rates or curves
    • Take in discrete dividends or yield
  • Graph the volatility surface (smile, skew)

Download a more detailed list of Equity coverage (156 KB PDF)