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MBRM
MBRM - MB Risk Management
29 Throgmorton Street
London EC2N 2AT
United Kingdom

Email: sales@mbrm.com
Phone: +44 20-7628 2007
Fax: +44 20-7628 2008

MBRM PRESS RELEASE
http://www.mbrm.com

Jan 1998

Mamdouh Barakat Risk Management (MBRM) are pleased to announce the launch of Two new systems for risk management of options. This underlines our commitment to give a competitive edge to our users.

MBRM are pleased to announce the launch of version 8 of their derivative pricing and risk management products :

UNIVGARCH - Universal Garch Add-in

UNIVGARCH implements various Garch models (including N-GARCH, E-GARCH and O-GARCH). Proprietary optimisation techniques implemented under 32-bit Windows are utilised which finally enable the practical use of Garch models in a trading environment. The Garch model increases the accuracy in the pricing of standard and exotic options (including Windowed Barriers and Windowed one and two touch options) where the underlying does not follow a perfect lognormal distribution (e.g. it has fat tails or non-standard Kurtosis). The Garch model has been proven more accurate than "Black-Scholes" type models, especially for out of the money options which are close to maturity.

The Garch model is considered an effective volatility forecaster. UNIVGARCH thus enables the forecast of the forward volatility for any time period and this volatility forecast can also be used in a standard option pricing model, increasing the accuracy of the standard option pricing model.

Simulations can be carried out with variable step length, including the handling of discrete dividends and a term structure of interest rates. These substantially increase the accuracy and types of options which can be analysed. Advanced variance reduction techniques are also implemented to substantially increase the accuracy/speed ratio.

UNIVGARCH can also be used for the Monte-Carlo pricing of standard and exotic options assuming a constant volatility, therefore increasing the scope of usage to situations where a standard log-normal distribution is desirable.

The add-in is fully callable from Excel, Visual Basic, C, C++, Access etc.

Options handled by UNIVGARCH include :

Down and in Windowed Down and In
Up and in Windowed Up and in
Down and out Windowed Down and out
Up and out Windowed Up and out
Lookback Windowed Lookback
Compound  
Euro Digital Asset or Nothing
Up one Touch Windowed Up one Touch
Down one Touch Windowed Down one Touch
Two Touch Windowed Two Touch
Double Barrier in Windowed Double Barrier in
Double Barrier out Windowed Double Barrier out

Analytical extension to UNIVEXOT - Universal Exotics Add-in

This module implements the latest research papers on the analytical pricing of exotic options (including continuous and discrete barriers and continuous and discrete lookbacks). These analytical models are accessible by simply changing the model number when using UNIVEXOT. This enables numerical, Monte Carlo and analytical option pricing and risk management.

Minumum System requirements :

        32-Bit Windows. i.e. Windows 95 or Windows NT

For further information, please contact our Sales Team

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