pricing derivatives

pricing derivatives

SciFinance

Cut costs with automated derivatives pricing model development. SciFinance is the ultimate flexible coding solution for in-house derivatives pricing and risk modeling. SciFinance automates coding and delivers full documented, standalone source code (C/C++) and Excel spreadsheets. Read more

derivatives calibration

SciCalibrator

Calibrate to market data, automatically. SciCalibrator delivers fast development of custom calibration models, genereated as fully documented, standalone C/C++ source code or Excel spreadhseets and add-ins. Read more

CDO pricing models

SciSTCDO

Single tranche CDO pricer. SciSTCDO is a standalone credit derivatives pricing, risk, calibration and implied correlation engine for single-tranche collateralized debt obligations (STCDO), including standardized tranched indices. Read more

parallel computing

Parallel Computing

Fast GPU and OpenMP parallel code styles, generated automatically. By harnessing the power of NVIDIA high-end graphic card GPUs, SciFinance achieves astounding acceleration for codes-up to 30X-220X faster. SciFinance OpenMP-compliant codes yield near linear acceleration on multi-CPU workstations. Read more or Watch the SciFinance Parallel Computing movie.

derivatives pricing models

SciCMD

Off-the-shelf and custom models. Frustrated by the "cookie cutter" solutions and limited analytics offered by other model providers? SciCMD offers both "off-the-shelf" as well as custom derivatives pricing and risk models that are tailored to your needs. Read more

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Products

SciFinance automates pricing and risk model development

Parallel Computing achieves blazing fast performance with CUDA and OpenMP

SciCalibrator provides pricing model calibration

SciCMD delivers off-the-shelf" and custom pricing models

SciSTCDO is a single-tranche pricing and risk engine

Yield curve builder

Asset class coverage

Company info

News & Events

Resource Center

A resource site with examples, documentation and more...

Communicate

Watch the SciFinance Parallel Computing movie (FLV):


PRESS RELEASES

SciComp Speeds Derivatives Performance with New Parallel Code Styles and SciXpress Features

IN THE NEWS

NVIDIA and SciFinance

"...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

Monte Carlo Greeks in Practice

"...The advantage of such estimation lies in its independence of the underlying model and payoff structure, enabling a generic implementation with little additional programming"

Wilmott Magazine

Software That Writes Itself

"...SciFinance takes complex mathematical models and translates them into something a computer can solve, allowing banks to flexibly change pricing models as they introduce new products."

Newsweek International