pricing derivatives
Derivatives Pricing

In-House Development Products

Automatic source code generation (C/C++/CUDA) software for building derivatives pricing and risk models.

  • SciFinance®

    Reduce development time, costs and risks. SciFinance is the ultimate flexible coding solution for the in-house development of derivatives pricing and risk models.

Core SciFinance modules

  • SciPDE™ and SciMC™

    SciPDE and SciMC give you the power, speed and accuracy of PDE methods and the robustness, speed and flexibility of optimized Monte Carlo simulations.

Additional SciFinance modules

  • SciGPU™

    Automatically generate GPU-enabled pricing model source code. Achieve astounding accelerations: typically 30X-220X faster than serial code. No parallel programming or CUDA expertise required.

  • SciCalibrator™

    Automatically generate C/C++ source code for a broad range of calibration models. SciCalibrator includes calibration routines for local and stochastic volatility models, single- and multi-factor short rate models, Libor Market Models, credit calibration routines and energy derivative models.

A language, not a library

Unlike typical modeling systems, SciFinance is not an inflexible set of library routines that offers imprecise or limited functionality for describing a pricing and risk model. SciFinance provides a concise, flexible, and extensible language that allows quantitative analysts and financial engineers to concisely describe the fundamentals of the financial
instrument, often with a few simple keywords. Read More...

Asset Class Coverage

The SciFinance Advantage

Pricing Derivatives

SciFinance:

  • Features cross asset class support
  • Prices any financial derivative that can be valued with a PDE or SDE
  • Offers complete model transparency, generating pricing model source code
  • Enables you to make the modeling decisions: SciFinance is not a toolkit
  • Generates CUDA-enabled or OpenMP compliant pricing model source code
  • Reduces development time and risks
  • Increases efficiency of quantitative developers
  • Provides a common language to describe financial instruments
  • Features easy integration with your existing trading and risk systems

Read More...

derivatives pricing

Tailored
Products

Cost-effective, state-of-the-art pricing and risk model solutions custom fit to meet your particular modeling needs

  • Custom Fit Pricing Models

    • Frustrated by the "cookie cutter" approach and limited analytics available with typical "off-the-shelf" solutions? We'll customize a model to your exact requirements.

  •  Bond Calculator

    • Provides a robust suite of bond calculations for both primary and secondary bond issues.

  •  Standard Convertible Bond Pricing Model

    • Model a broad range of convertible bond features including protected call, discrete put schedule, fixed/floating coupons, dividends, conversion ratio, accrued interest, recovery, credit risk and funding spread.

  •  CDS Pricer

    • Uses an intensity-based framework to price a standard credit default swap contract with upfront payment and subsequent running coupons. A CDS Calibrator is included to extract the underlying piecewise constant hazard curve from standard CDS market quotes.

  • STCDO Pricing Engine

    • Employs a Gaussian copula framework with stochastic recovery, semi-analytic method, including an internal CDS calibration to extract the hazard rates from CDS quotes and a CDO calibration to extract base correlations from a standard credit index .

  • Yield Curve Builder

    • Constructs yield curves from a series of user input cash and swap rates. Choice of holiday calendars, roll conventions and interpolation techniques available.

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Communicate

Watch the SciFinance Parallel Computing movie:

Webinar: Automatic GPU computing for derivative pricing models


NEWS

Reval Speeds Up Pricing Complex Instruments in the Cloud with SciFinance

"We were looking for a cost-effective and easy-to-deploy solution to improve the pricing of complex derivative instruments using PDEs or Monte Carlo simulation in our SaaS product. We found it with SciFinance and GPU-enabled models, without having to become experts in parallel coding or CUDA."

CUDA-Enabled Codes

"...the only thing you need to add to get GPGPU acceleration is literally 'CUDA'; it's a single keyword, not a fundamentally different way to formulate the math equations. This allows SciComp's customers to save even more time while also improving accuracy."

Beyond 3D