European exchange operator Euronext has selected Horizon Software for monitoring and pricing derivatives instruments in real-time and to calculate settlement prices on an intra-day basis.
According to Euronext, its proprietary system was “difficult and expensive to maintain”.
“Despite being very much tailored to our business, the system was difficult and expensive to maintain, and not scalable enough to support our growth,” said Denis Esnault, chief information officer at Euronext.
Horizon Software’s system will monitor thousands of futures and options in real-time and embeds several models for pricing derivatives such as Black-Scholes, Garman–Kohlhagen, Binomial, Cox-Ross, PDE, Trinomial, and several volatility models such as Asymptotic Volatility and Dynamic Skew.
“Horizon has a deep expertise in pricing derivatives and volatility management coupled with a specific edge in aligning its scalable platform to sophisticated clients’ requirements,” added Esnault.
“We are confident that with this new software we will meet our targets and its comprehensive footprint will help us to support our global operations.”