15 months ago, I wrote about this in UnRisk Insight - Not In The ... .
I talked about the temptation to offer an option calculator for everybody. But, we knew, that the Black Scholes formula needs to be generalized and its extensions with stochastic volatility and jumps require sophisticated numerical schemes and calibration techniques. Now, the quant finance experts come to the conclusion that calibration (re-calibration) is the key to keep the dynamic replication of an option right. A few days ago, Emanuel Derman, one of the most influencing quants, wrote about this in Calibration .
Since Elie Ayache wrote his "The Blank Swan", calibration might become even more important - see Market Of The Future, Or Market With Future?
The UnRisk makers are good in calibration, because on of their scientific background in "Inverse Problems".
At the other hand we have the Mathematica front-end, where quants and risk professionals can run scenarios across models and methods (we call this orthogonal organization). And if prices and risk spectra differ too much, something might be wrong with the deal type? This has also the positive effect of explorative learning that keeps the product use learning cycle unparalleled short and often self-paced. No need to "delight" them with long guided training sessions.
