Reditus
Equity and Fx Products:
- Two-assets options with multi
barriers (e.g. one asset is a commodity, and the second asset is a currency).
(2AssetBarrier Model)
- Rainbow Maximum Options with
Window Barriers (RainbowMax2Assets Model)
- Rainbow Minimum Options with Window Barriers (RainbowMin2Assets Model)
- Stochastic volatility model with
barriers for both the asset price and its variance. (Stochastic Model)
- Hull-White Stochastic volatility model with barriers for both the asset price and
its stochastic volatility. (HWstochastic Model)
- Asian options model with barriers imposed
for both the average and the asset values. (AsianFull Model)
- Convertible bonds (two-factor) with
barriers for both the interest-rate and the asset price (plus call/put features).
(CB2Factor Model)
- Parisian options model (Parisian Model)
- Two-asset knock-in model (TwoFactor_KnockIn Model)
- Multi-barrier one-asset model
(rebates can be imposed for all the barriers) (1AssetBarriers Model)
- Foreign Exchange multi-barrier options with
rebates (FxBarriers Model)
- One-asset multi-barrier model with a
nonlinear transaction cost considered (BarriersTransCost Model)
- Strangles with window barriers
(Strangle Model)
Interest-rate Products:
- Pricing model for bond with barriers for spot rate (Bond Model)
- Hull-White Model for Caplet/Floorlet with multi-barriers for the spot rate (HullWhite
Model)
- Ho-Lee Model for Caplet/Floorlet with multi-barriers for the spot rate (HoLee Model)
- Black-Derman-Toy Model for Caplet/Floorlet with multi-barriers for the spot rate (BDT
Model)
- Black-Karasinski Model for
Caplet/Floorlet with multi-barriers for the spot rate (BlackKarasinski Model)
- Black-Karasinski Model for Swaptions with multi-barriers for the swap spot rate
(BKswaption Model)
- Cox, Ingersoll & Ross Model for Caplet/Floorlet with multi-barriers for spot rate
(CIR Model)
- Two-factor interest model with barriers for the long and short interest rates (one short
rate, one long rate). (IR2Factor Model)
- Convertible bonds (two-factor) with
barriers for both the interest-rate and the asset price (plus call/put features).
(CB2Factor Model)
Models/Products for the energy market:
- Pilopovic Model, barriers can be imposed for one or both the spot price S and
long-term price L (Pilopovic Model)
Models/Products for Speculative Purposes:
- Stochastic-drift Model (two-factor), barriers can be imposed for the asset price and its
stochastic drift (StochasticDrift Model).
The models and products offered in Reditus are
not limited to the listed above. However, if you would like to know if a particular
model/product has been implemented in Reditus,
please feel free to contact us. If a popular product/model is not implemented in Reditus, we are happy to upgrade it into
our list of products/models to be implemented in Reditus
for future release. Or if you would like to implement the model/product yourself, we
are certainly happy to assist you.
If your firm would like to develop a certain pricing model in the financial or the
energy market, we can carry out the task from its research stage to its final
implementation as part of our consulting services. The turn-around time can be within the
same day, or at most a couple of days, not like normal consulting work that can last for
weeks or months.
For each model/product, we are writing up model/product description and how-to-use
manual. However, as the models/products evolve constantly, we have to update the documents
accordingly. You may notice changes occur every time you visit this page on Reditus.