Pricing and Hedging

We provide pricing of the hybrid and structured products with multi-dimensional stochastic process in local and stochastic volatility framework with stable 2nd order greeks. We also provide solution of the hybrid products (with differ collateral agreements, equity linked swaptions, etc.) with multi-curve framework.

AGNITYA is specialised in derivative pricing of 1st generation ( Caps, Swaptions, Bemudan options) and 2nd generation exotic rate derivatives ( CMS options, CMS spread and Collars Rate products etc..) . AGNITYA's solutions are based on Quasi Gaussian Models in Low dimensional ( 2 factor and 3 factor , Cheyette models ) and high dimensional (Libor market models) in local and stochastic volatility in multi curve framework. The numerical solutions are computed with advanced ADI method and Quasi simulation methods. 

AGNITYA provides the pricing models for the 1st generation FX exotics products (single barrier & double barrier, KIKO) and 2nd generation exotics products (time barrier, long dated) in stochastic-local volatility framework. The numerical solution are obtained by PIDE, PDE and monte carlo simulation methods.

AGNITYA provides the pricing models for the 1st generation equity exotic products (single barrier & double barrier, KIKO, reverse knock in) and 2nd generation exotics products (multi -barrier, autocallable, basket product with autocallable feature) in local volatility and stochastic-local volatility framework. The numerical solutions are obtained by PIDE, PDE and monte carlo simulation method. We also have solutions for hybrid equity products with jump diffusion process method for short dated derivatives.