Strumenti & Utility Tools & Utilities

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Option Pricing Studio

Calcolo teorico e risk management di contratti derivati di opzione (Europee, Americane, Asiatiche). Theoretical pricing and risk management of option derivative contracts (European, American, Asian).

  • Modelli: Black-Scholes, Albero Binomiale, Monte Carlo e Turnbull-Wakeman.Models: Black-Scholes, Binomial Tree, Monte Carlo, and Turnbull-Wakeman.
  • Calcolo istantaneo delle Greche (Delta, Gamma, Vega, Theta, Rho).Instant Greeks calculation (Delta, Gamma, Vega, Theta, Rho).
  • Ingestione e pricing in batch di interi portafogli tramite fogli Excel.Batch ingestion and pricing of option portfolios via Excel sheets.
  • Generazione ed export di report professionali PDF con grafici.Generation and export of professional PDF reports with charts.
Apri Strumento Open Tool

Weather Option Pricing

Pricing stocastico Monte Carlo per la copertura del rischio volumetrico associato ad anomalie climatiche. Monte Carlo stochastic pricing for volume risk hedging associated with weather anomalies.

  • Pricing di contratti HDD (Heating Degree Days) e CDD (Cooling Degree Days).Pricing of HDD (Heating Degree Days) and CDD (Cooling Degree Days) contracts.
  • Calibrazione parametri tramite Serie di Fourier e regressione ai minimi quadrati.Parameter calibration using Fourier Series and least squares regression.
  • Simulazione climatica Ornstein-Uhlenbeck (Mean-Reverting).Ornstein-Uhlenbeck (Mean-Reverting) stochastic weather simulation.
  • Analisi residui stocastici, ACF, grafici Q-Q Plot e distribuzioni.Stochastic residue analysis, ACF, Q-Q Plot charts, and distributions.
Apri Strumento Open Tool