SciComp Inc.

Derivatives pricing at the speed you need.

Derivatives Pricing Models

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 for all asset classes and numerical methods, SciFinance provides a friendly, versatile environment in which to make and implement modeling decisions.

pricing derivatives

SciComp Consulting provides ready-to-use pricing and calibration models that can be precisely tailored to customer specifications. Unlike vendors who rely on pre-built libraries or toolkits, SciComp Consulting can easily implement model specifications in accordance with customer requirements.

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.