Front office & trading
Pre-trade pricing, structuring and hedging across OTC products, with Greeks that survive the desk's own stress tests.
Explore →First light on risk.
Auronova prices, hedges and stress-tests derivatives portfolios with models your regulator, your auditor and your desk can all open.
Trusted by
Across the trade lifecycle
Six desks. One set of numbers.
The price the structurer quotes, the exposure the risk officer reports and the figure operations settles on come from the same calibrated model, not from three systems arguing after the close.
Risk & capital
Market, counterparty and XVA on one exposure engine.
Explore →Quantitative research
Open model source, calibration diagnostics and a scripting layer for payoffs the library has not met yet.
Explore →Operations & control
Independent price verification with an audit trail that names the inputs, not just the result.
Explore →Platform engineering
REST, Python and C++ bindings against the same core.
Explore →Advisory & consulting
Embed the analytics your client already trusts instead of rebuilding a pricing library for every engagement.
Explore →What we hold ourselves to
Numbers you can defend in the room.
Built over two decades of closes.
Auronova has run through three rate regimes, two liquidity crises and every reporting change in between.
0Institutions on the platform
0Markets covered
0Follow-the-sun support
0Serving capital markets
Where we work
Six markets. One standard of proof.
Each market has its own regulator, reporting calendar and closing hour. We set up for the regulator you report to, and support you during your local working day.
IN
India
MumbaiReporting under RBI and SEBI frameworks.
SG
Singapore
SingaporeMAS risk-management expectations for banks and fund managers.
UK
United Kingdom
LondonPRA and FCA expectations on model risk and valuation.
AE
UAE
DubaiCBUAE, DFSA and ADGM regimes, onshore and in the free zones.
SA
Saudi Arabia
RiyadhSAMA and CMA requirements for banks and capital-market firms.
US
United States
New YorkFederal Reserve, OCC and SEC model-risk and capital rules.
Three ways in. One engine underneath.
Auronova Core
The pricing library
Cross-asset analytics for derivatives, fixed income and hybrids, callable from C++, Python, .NET or Excel. Model source ships with the licence.
- Rates
- Credit
- Equity
- FX
- Inflation
- Hybrids
Auronova Horizon
The risk platform
Enterprise valuation, XVA, market and counterparty risk over the whole book, with regulatory reporting that traces back to the trade.
- XVA
- VaR & ES
- SIMM
- FRTB
- IPV
Auronova Forge
The development environment
A hosted workspace wired to the same analytics, market data and APIs, so a desk tool goes from notebook to production without a rewrite.
- Python SDK
- REST
- Notebooks
- Backtests
- CI
From the research desk
All research
What autocallables do when correlation breaks
Basket autocalls are sold on a correlation assumption and hedged on a different one. We re-price a live book through four dislocation scenarios and show where the barrier convexity actually sits.
Method
Rebuilding a vol surface from a thin options tape
What survives when half the strikes stop printing, and which smoothing choices quietly change your hedge.
Product
XVA without the overnight batch
Adjoint sensitivities moved the exposure run from a nightly job to something a desk can ask for at 11am.
"Our auditors stopped asking where the number came from."
Bring us your hardest book.
Send the trades your current system struggles with. We will price them against your marks and walk you through every step of how.