Euronext will use the solution’s volatility and pricing models to monitor “tens of thousands of options and futures in real-time,” according to a press statement. The platform 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, according to company claims.
Euronext is the pan-European exchange with offices in Amsterdam, Paris, London, Brussels and other European fianncial markets. It merged with the New York Stock Exchange in 2007 and was acquired by IntercontinentalExchange in 2013.
We used a proprietary system at Euronext to manage pricing and settlement. 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.
He added, “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. 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.
The scalability of our software allows clients to easily extend its use as and when needed, while containing hardware costs. The flexibility provided by our scripting module, Horizon Automated Trader, natively embedded in all our software, will allow users to customize their experience and automate repetitive tasks, said Sylvain Thieullent, CEO of Electronic Trading EMEA and Americas at Horizon Software.
The solutions will alsocalculate and disseminate settlement prices on an intra-day basis.
