SciComp Inc.

For the discerning derivatives modeler

Derivatives Pricing Models

derivatives pricing models

Since 1998, financial institutions around the globe including banks, insurance companies, asset managers, hedge funds and other financial service providers have made SciFinance® the technology of choice for the in-house development of derivatives pricing models. With hundreds of customizable, composable, industry-proven examples to choose from and a robust, transparent modeling environment, users can easily and rapidly create bespoke models for all asset classes. >Find out more.


pricing derivatives

SciComp Consulting is a team of numerical experts focused on the implementation of both industry standard and custom developed derivatives pricing and risk models.

Having worked with leading practitioners at top tier institutions around the globe for nearly 20-years, SciComp Consulting provides a unique value proposition; a deep knowledge base and extensive practical modeling experience. >Find out more.

Derivatives Risk Management


GPU-Enabled Pricing Analytics

SciComp provides GPU-enabled pricing models and risk system components.

  • SciFinance® automatically generates CUDA source code for any Monte Carlo based pricing model.
  • SciComp Consulting GPU-enables any PDE-based pricing model or calibration routine.

 

Comprehensive Pricing Model Validation

SciComp provides comprehensive derivatives pricing model validation services.

  • Analysis of the pricing model implementation
  • Review of the underlying model dynamics
  • Review of numerical routines and methodologies

 

Risk Simulation Models

Design, enhancement and testing of risk simulation models and their components.

Universal Convertible Bond Pricing Model

The Universal Convertible Bond Pricing Model is a ready-to-use solution for valuing a broad range of convertible bonds. Users can easily specify all the relevant features of modern convertible bond such as soft calls, CoCos, dividend protection, CoPays, Hyper features, many types of make whole features, change of control provisions, etc.



VIX Option Analzyer

SciComp’s VIX Option Analyzer is a ready-to-use module that calibrates a universal volatility model jointly to SPX and VIX options while generating prices and sensitivities under the calibrated model. The calibrated model is ideally suited for identifying arbitrage opportunities or pricing and hedging OTC volatility contracts.



PCA Based Forward Curve Simulator

SciComp’s PCA Based Forward Curve Simulator projects curves for a single asset via principal component analysis. Accommodating seasonality, the simulated curves are applicable in the pricing and risk management of derivatives sensitive to futures curve evolutions and related trading strategies.