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The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

GFI Group Announces Release of FENICS Exotics

GFI Group has announced the release of FENICS Exotics, a powerful collection of models used to price all major exotic FX instruments.

FENICS Exotics pricing models are carefully tailored to work the way a market practitioner would expect to use them in the FX markets. The component provides accurate prices and tradable bid/ask spreads that can be immediately quoted, without requiring manual intervention.

FENICS Exotics is powered by two math methodologies, dVega and Monte Carlo. The dVega model is GFI FENICS owned methodology that allows for the incorporation of current market practice to provide the most accurate pricing and spreading of first generation digital and barrier options. The Monte Carlo model has been developed in partnership with CSIRO (Australia’s Commonwealth Scientific and Industrial Research Organisation) and provides clients with state of the art exotic options pricing software embedded with cutting edge mathematical methods.

Richard Brunt, global head of GFI FENICS said: “The launch of FENICS Exotics comes on the back of the appointment of Julian Cook as head of quantitative research” and added, “The core of GFI FENICS product has always been its maths models. We have invested heavily in this area over the years and we continue to do so and keep our models at the forefront of the market.”

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