Quantitative Research & Analytics
λ=1.23 jump -4.9% λ=0.56 jump -10.2% λ=3.34 jump +4.8% λ=0.70 jump -15.3% λ=0.56 jump +13.8% λ=6.25 jump +15.3% normal σ 13.4% 60.7% OF TIME distressed σ 22.9% 31.2% OF TIME crisis σ 64.9% 8.2% OF TIME low volatility high volatility
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.
Live research — S&P 500 Index

Our flagship product is a regime-switching jump-diffusion, calibrated daily against the S&P 500 Index surface, the VX curve, and VIX options.

The same model and infrastructure we deploy for clients, run in public and on the record, calibrated to the closing market daily.

UnderlyingsS&P 500 Index · VIX · VX
CadenceDaily
Regimes3 — normal / distressed / crisis
ModelKou-Heston
BasketVanillas · VX · VIX options
Leadership

Thirty years on the desk, in the markets, and in the models.

Head of Quantitative Research & Analytics
Joel Smalley
Quantitative analyst, derivatives trader, and systems architect. London.

Joel leads the practice. He has a decade as a proprietary trader and market maker in convertible-bond arbitrage, asset swaps, and equity volatility at Chemical Bank, Daiwa Europe, JPMorgan Chase, and CIBC, BGC, and Tullet Prebon; followed by several years experience as a quantitative analyst and pricing-systems architect at BGC, Tullett Prebon, Pricing Kernel, Merx Securities, and ITO33.

Education
MBA, Rotman (Dean's List) · PgDip Quantitative Finance, University of London · BA Hons, Durham (Modern Languages)
Historic Authorisations
FCA CF4 (Partner) · CF30 (Customer)
Languages
English (native) · French · Italian · German