genOTC - pricing model calibration based on optimal transport

Starting from any given set of non arbitrable market prices, genOTC will find an arbitrage free model that calibrates exactly to this set of prices. This model can be integrated in your own library, to price any products (exotics, OTC options), consistently with the given market prices. genOTC also offers a web-based pricer for standard products.

genOTC will work with any given market data in a fully integrated framework that requires no integration effort.

Marked to Market pricing for all

Access pricing capabilities that are only available to Tier 1 investment banks with dedicated quant teams

genOTC is based on decades of research in mathematics and optimal transport

Learn more about
Optimal Transport

On the fly exact calibration with no integration required

100% cross assets and versatile, genOTC can be used by banks, hedge funds, data providers, assets managers and exchanges.

Energy Volatility Fitter

Compute OTC vanilla prices Robust price interpolation

Parametric Volatility Fitter

Manage your vega risk Greeks for risk management

Local Volatility Server

Get your own smooth volatility surface to price exotics

Local Stochastic Volatility fitter

Advanced product for a Marked to Market stochastic volatility model

Energy arbitrage
fitter

For market makers and liquidity providers

Joint VIX/SPX
fitter

The first dynamic model consistent with VIX and SPX

Unique features dedicated to performance and accuracy

No integration costs. Ultra versatile.

Whatever your business needs are, genOTC will bring concrete and immediate competitive advantages to your organization

Deals with sparse/unstructured
data

Provides smooth arbitrage free volatility surfaces for simulation

Applies to the calibration of Local Stochastic Volatility models

Accommodates hybrid stochastic
rates environment

Jointly calibrates VIX SPX options

Works with path dependent products
(Asian, Barrier, Lookback, Autocall etc.)

Accommodates constraints: marginal distributions, moments, quantiles…

Provides smooth volatility surfaces for simulation

Keeps you close to your favorite model and works for fair
value arbitrage

Ultra flexible in terms of risk management optics (greeks)

genOTC applies generative optimal transport to finance
and disrupts model calibration

Years of research behind genOTC

For the first time in finance and after years of research, pricing calibration is brought to the market by genOTC in a Software as a Service model, offering users the possibility to calibrate their models on the fly, requiring zero system integration and removing the need for costly quants and analysts teams

Founders

Gregoire Loeper (PhD Mathematics), is a French mathematician, a leading researcher in Optimal Transport, and an experienced derivatives trader and quant. His numerous results have been published in the best peer reviewed academic journals.

Pierre-André Pochon (MBA Finance), is a French serial entrepreneur and a specialist of Software as a Service business models who successfully completed several exits of software companies he launched since 2003.

Careers

You like doing mathematics and software development at the highest level, you have a experience in selling advanced technology to financial practitioners, check out here if a position is available for you.

PhD Senior Quant

Quantitative analyst with a solid knowledge in derivatives, scientific computing, ideally with a PhD.Senior and junior candidates will be considered.

Please apply here

Senior Developer

Full stack developer with a strong interest in mathematics and finance.
Senior and junior candidates will be considered.

Please apply here

Internship

You are a PhD or Masters student and you are looking to grow your skills in high level financial mathematics?
Here you go!

Please apply here

Ask for a personalized demo and see what genOTC can do for your business

Take your model calibration to the next level

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On the fly exact calibration with no integration required

100% cross assets and versatile, genOTC can be used by banks, hedge funds, data providers, assets managers and exchanges.

No integration costs. Ultra versatile.

genOTC applies generative optimal transport to financeand disrupts model calibration

Years of research behind genOTC

Founders

Careers

You like doing mathematics and software development at the highest level, you have a experience in selling advanced technology to financial practitioners, check out here if a position is available for you.

Ask for a personalized demo and see what genOTC can do for your business

genOTC applies generative optimal transport to finance
and disrupts model calibration