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


Oct 2000

MB Risk Management (MBRM) are pleased to announce the launch of a major update of their Universal Garch Add-in. Dr Barakat, Managing Director of MBRM, says "We believe MBRM is the first financial engineering firm which provides a multi-factor lattice implementation for the Garch option pricing model."

Major features of the update include :

  • Massive increase in speed of calculation for American and European Style options due to the use of a multi-factor lattice as opposed to the traditional method of using a Monte Carlo simulation (which is also supported by the Universal Garch Add-in).
  • Increase in the number of supported Garch models from 3 to 5 (including instantaneous calibration of the Garch parameters)

The Garch model increases the accuracy in the pricing of options where the underlying does not follow a perfect lognormal distribution (e.g. the underlying has fat tails or non-standard Kurtosis).

Dr Barakat, Managing Director of MBRM, says "the complexity in implementing a multi-factor lattice for Garch is a few orders of magnitude larger than implementing Binomial/Trinomial trees and the Finite Difference Algorithm. The complication arises because the Garch model is intrinsically path dependent where the daily volatility depends on the level of the underlying, as well as the previous levels of volatility. The speed increase in the new lattice approach could assist in the wider adoption of the Garch model since it would finally make it practical to use Garch not just in risk management but also in real-time pricing and calibration to quoted options.

Garch should be considered as another arrow in the weaponry used in financial engineering which supplements, but not replaces, the other models (just like present practitioners compare the results from finite difference models with those from binomial models)".

Please see our latest price list (http://www.mbrm.com/pricelist.shtml) for the cost of this module.

A free fully functional 30 day trial can be downloaded from MBRM's internet web site : http://www.mbrm.com

Background :

MBRM are developers of the world-famous UNIVERSAL Add-ins. With 30,000+ users world-wide, the UNIVERSAL Add-ins are the most widely-used derivative software for the pricing, risk management, trading, arbitrage, fund management and auditing of securities, options, futures and swaps in the convertible, fixed income, commodities, energy, equities, foreign exchange and money markets. Links with most real-time feeds creates a powerful and dynamic analytical environment. MBRM's software is used world-wide in mission critical applications by most major Investment Houses, Money Managers and Corporate Treasuries.

The UNIVERSAL Add-ins are implemented as function calls in a Dynamic Link Library (DLL), thus assisting in the ease of use and integration into the user's analytical environment. They can therefore be called from Excel, Access, Visual Basic, C, C++, Delphi, Fortran etc. This object-orientated building-block approach provides unequalled speed, cost-effectiveness and flexibility. MBRM's technical support is excellent since the software has been designed and implemented in-house.

For further information, please contact our Sales Team

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