Derivatives pricing and risk evaluation are evolving from art into science.

Econophysica was created to bridge this gap by unifying highly experienced academics and market practitioners, focussing on providing derivative users with independent and transparent risk management solutions.

We specialise in the newest and most complex derivative products, particularly in such areas as energy, weather and new markets.

Being at the technological cutting edge, Econophysica aims to deliver both individual and on-line Services.

Econophysica's Decision-Support Tools

Pathfinder allows the investor to detect and identify certain patterns in the market behaviour such as historical loss experiences, prevailing trading strategies, etc. The tool can enhance banks' internal ratings-based (IRB) risk assessment capabilities as required by the New Basel Capital Accord (also known as Basel II).

Pricengine represents a new generation of pricing software which takes full account of the stochastic nature of market volatility. Its main purpose is to provide derivatives users with a universal, accurate and powerful tool to benchmark a large range of path-dependent options (such as barriers, forward-start/cliquet and others) in all types of markets. These options depend crucially on future volatility as well as the volatility correlation matrix.

AWACS (active warrant control system) is a multitask trading decision-support system, enabling equity and derivative traders, hedge fund mangers and other market players to monitor and anticipate the impact caused by options on the value of the underlying asset. The system has already been successfully tested by equity traders in the City of London.

Econophysica's People's Derivatives provide direct access to online tools for the retail investor. The application comprises various, constantly updated examples of popular structured notes.

Our Advanced SoftLibrary gives free access to a large number of on-line option pricers, which include barrier, lookback, digital and asian options. The library is constantly updated with pricing models for the latest derivatives. In Demo Lab you can try our pricers for pure vanilla derivatives which calculate the sensitivity of the option value to Transaction Cost, Hedging Frequency and Market Liquidity. There you can also plot the implied volatility smile resulting from the liquidity adjustments to the option value. Some of our research work is discussed in our papers.