Financial systems are complex
Financial systems are undoubtedly extremely complicated. This is why advanced financial mathematics can play a significant role in giving banks, hedge funds, trading and fund portfolio managers the knowledge to buy and sell in a timely manner and with greater confidence.
Partnering with an industry leader
Our financial mathematicians have been working with GFI Group, a major provider of wholesale derivatives brokerage, electronic execution, market data and trading software, to develop their FX options pricing software.
We adapted software code originally designed for solving fluid modelling equations to the volatile environment of daily financial options trading.
In 2005, we delivered an exotic options pricing software package called Reditus™ as a plug-in to GFI's FENICS FX software. FENICS FX customers paid an additional licence fee for the Reditius™ software plug-in.
Then, in 2009, we signed a five-year agreement with GFI Group allowing it to release the FENICS Exotics software to all of its FENICS customers, which include 350 of the world's major financial institutions.
The relationship with GFI Group continues to grow from strength to strength, reinforcing both our global partnerships and the value of novel scientific approaches in delivering services innovation for clients.
This is just one example of how our science can make a difference to the global financial market, offering better decision making tools to increase confidence and trading reliability.
From maths to markets
Fenics Exotics is GFI's latest addition to the FENICS Professional™ product for pricing FX options. It is powered by two math methodologies, dVega and Monte Carlo.
The dVega model is GFI FENICS owned methodology that allows for the incorporation of current market practice to provide the most accurate pricing and spreading of first generation digital and barrier options.
The Monte Carlo embedded risk calculation engines, developed by CSIRO mathematicians, enable FENICS customers to better price and risk manage exotic options in real time, improving the risk profile of these options and making risk practices more robust.
This partnership brings the financial market an independent and transparent model to price exotics, backed up with best practice in financial mathematics.