Others promise no programming. SciFinance delivers.


derivatives pricing models

SciFinance® eliminates programming by automatically translating model specifications for any financial derivative into fully documented C-family source code. Using an intuitive VHLL for describing financial contracts and numerical methods, SciFinance provides a friendly, versatile environment in which to make and implement modeling decisions.

 




Computational finance consulting


pricing derivativesOur skilled, professional quantitative development team provides expert, cost-effective derivatives consulting services.

From implementing industry standard pricing models for any asset class to enhancing risk simulation models, we offer comprehensive derivatives support.

 

SciComp Consulting delivers:

Risk management consulting

  • Risk simulation models
  • Derivatives model validation
  • Parallel computing of derivatives pricing models and risk system components

AutoCallables and Reverse Convertibles

Readily customizable, the pricing models are available as a stand-alone Excel spreadsheet/add-in, Windows/Unix executable or as part of SciFinance, SciComp's automatic C/C++/CUDA pricing model source code generator.


Convertible Bond Pricing Model

Ultimate Convertible Bond Pricing Model

Ready-to-use, off-the-shelf pricing and risk engine that employs a PDE methodology for valuing convertible bonds. Supports a broad range of CB features, accurately captures dividends and provides much smoother and faster price convergence than tree-based approaches.


Yield Curve Builder

Yield Curve Builder

A flexible, robust, Microsoft.NET/XML solution for constructing swap, bond and spread curves. Includes ready-to-use spreadsheets with pre-defined yield curve templates based upon standard market conventions.


Stochastic Local Volatility Calibrator

Stochastic Local Volatility Calibrator

Specialized to the FX market, supports the valuation of instruments that fall between pure local volatility (LV) and pure stochastic volatility (SV).