The Practice
A research practice for institutions that demand transparency and rigor.
Kappa Markets is a quantitative research and analytics practice serving select asset managers,
family offices, prop firms, and corporate treasuries with bespoke pricing,
calibration, and risk models across equity, credit, FX, and commodity
derivatives. We build models the way they should be built — from first principles,
in production code, with every assumption visible and every parameter movement on the record.
Most institutional risk infrastructure is a black box pieced together from disperate vendor
components. Ours is the opposite: homogenous, transparent models, daily calibration, and a public
track record of how parameters evolve through intuitive market regimes. Clients receive
the source, the calibration logs, and the same dashboards we use ourselves.
Domains
Our areas of experience
Our model is agnostic to the underlying market, but our experience is not. We have deep domain expertise in
the following markets, built from years of market-making, proprietary trading, and quantitative analysis
experience across Europe, North America, and Asia.
| 01 |
Equity index derivatives |
S&P, Euro Stoxx, Nikkei surfaces. Listed vanillas, VIX complex,
dispersion, and variance products. Joint calibration across the option
chain, the futures curve, volatility options, and exotics.
|
| 02 |
Convertible bonds |
Asset-swap arbitrage, soft-call analytics, parity-implied credit
extraction, and stochastic-dividend pricing. Market-making and prop
trading background across Europe and Asia.
|
| 03 |
Credit derivatives |
Single-name and index CDS, credit-linked notes, and CDS-equity
relative-value. iBoxx HY/IG futures tracked alongside vol surfaces as a
risk-on/risk-off cross-check.
|
| 04 |
FX & commodities |
G10 and major emerging FX vol smiles, energy and metals surfaces. Same
regime-switching framework, recalibrated to the conventions of the
underlying market.
|
| 05 |
Structured & exotic |
Independent valuation for one-touches, autocallables, accumulators, callable range
accruals, and other path-dependent products where a vendor mark is the
only public number.
|