Equity

Structure and Price Any Type of Equity Derivative

Numerix provides comprehensive coverage for any conceivable type of equity instrument, including the most complex structures, through our infinitely flexible deal-structuring architecture, payoff scripting language and a comprehensive library of market-standard equity models and proprietary numerical methods.

Below is a sampling of deal templates that users can customize as needed, as well as models and methods available with Numerix:

Customizable Instrument Templates*

Single-Name Products
- American & European calls/puts
- Auto-callable single asset option
- Average-growth protected option
- Booster note
- Bull-Bear note
- Chooser option
- Cliquet call/put Option
- Fader option
- Forward-start call/put option
- Installment option
- Locked-return option
- Range accrual
- Realized volatility swap
- Reverse convertible option
- Variance swap
Asian options
- Asian dual call/put
- Asian strike call/put
- Asian underlying call/put
Barrier options
- Barrier down-style call/put
- Barrier up-style call/put
- Double barrier call/put
Compound Options
- Compound call/put on American/European call/put
Digital options
- Digital call/put
- Digital call/put no touch
- Digital call/put one touch at end
- Digital call/put one touch on hit
- Barrier double digital no touch
- Barrier double digital at end
- Barrier double digital on hit
Lookback options
- Lookback call/put
- Lookback range call/put
- Lookback strike call/put
Equity baskets
- Equity basket call/put option
- Best/worst-of-N asset and performance basket options
- Correlation basket option
- Galaxy (swing) basket option
- Mountain range baskets (Annapurna, Altiplano, Atlas, Everest, Himalayan)
- Napoleon basket option
- Podium basket option

Models and Methods*

Anderson-Buffum model for liquid convertible bonds
Black-Scholes model
Dupire local volatility model, also with advanced fit of local volatility surface
Heston stochastic volatility model with constant and time-dependent coefficients
Bates stochastic volatility jump-diffusion model
Local stochastic volatility model
SABR model
Quanto equity model
Multi-factor BS/Dupire/Heston/Bates basket models
One-factor Dupire and Two-Factor Heston models for equity index exotics
Continuous or discrete dividends
Vanna-Volga pricing method
Fast low-dimensional PDE methods for Asian and Lookback options
Analytic/tree/lattice/Monte Carlo

* Not an exhaustive list

Equity Derivative Solutions from Numerix

Numerix CrossAsset (Equities Module)
Flexible pricing and risk analytics, available in Excel or APIs in C#, C++ or Java
Numerix Bloomberg Edition (Equities Module)
Daily MTM in Excel and BPS with turnkey Bloomberg data
Numerix LiquidAsset
Function-based pricing for liquid derivatives
Numerix Portfolio (Equities Module)
Grid-enabled trade capture and risk reporting for single-name and basket derivatives
Valuation Services
Fully documented independent valuations for equity-linked OTC portfolios
Numerix Partner Solutions
Leading trading and risk systems integrated with Numerix analytics