SciComp Inc.

Derivatives pricing at the speed you need.

derivatives pricing models

Others promise no programming. SciFinance delivers.

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.

pricing derivatives

Computational Finance Consulting

Our 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. Unlike vendors who rely on pre-built libraries or toolkits, SciComp Consulting custom designs each model specification in accordance with customer requirements using state-of-the-art numerical methods.

SciComp Consulting delivers:

Risk Management Consulting

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


Analytic Space: Where Algorithms Meet Data

Analytic Space, jointly developed by SciComp and IBS Capital, amalgamates market data, pricing analytics and risk analysis into a single centralized service in a non-monolithic fashion. Analytic Space is designed to facilitate the pricing, risk management, capital allocation, P&L attribution, model validation and other trading and treasury operation activities for exchange traded and OTC cash and derivatives instruments.

SciComp Standalone Products

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.

Universal 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 convertible bond features, accurately captures dividends and provides much smoother and faster price convergence than tree-based approaches.

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

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