From the Wikipedia page 
Arundel House was a town-house or palace located between the Strand and the Thames, near St Clement Danes.
It was originally the town house of the Bishops of Bath and Wells, during the Middle Ages. In 1539 it was given to William Fitzwilliam, Earl of Southampton. It reverted to the Crown on Fitzwilliam's death and was granted in 1545 to Thomas Seymour, brother to Edward Seymour, 1st Duke of Somerset, Protector (of the infant King Edward VI, son of King Henry VIII). After Seymour's execution in 1549 for treason, the house was sold to Henry Fitz Alan, 12th Earl of Arundel, for around £40. It later housed Thomas Howard's collection of Old Masters and classical sculpture (a 2nd century AD relief from Ephesus kept at the house may be seen in the 17th century gallery at the Museum of London), and also hosted his protégé Wenceslaus Hollar.
The Roman Baths, Strand Lane were situated within the grounds, and remain in the ownership of the National Trust.
The present Arundel House currently serves as the headquarters for the International Institute for Strategic Studies.