Expert, Cost-Effective Derivatives Consulting

Industry standard or custom derivatives pricing models

derivatives pricing models

SciComp Consulting provides ready-to-use, efficient pricing models that can be precisely tailored to customer specifications. 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. Features such as industry-standard or proprietary underlying model dynamics, financial contract provisions, and calibration routines can be combined to produce customer specified pricing models for any asset class. Pricing models can be integrated with existing systems or used as standalone products. For added speed of execution, SciComp Consulting can provide OpenMP-compliant and CUDA versions of Monte Carlo and PDE based pricing models.

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Ready-n-Customizable Calibrators

Ready-n-Customizable Calibrators are a suite of robust, stand-alone, ready-to-use calibration functions any of which can be tailored to meet customer requirements. In addition, SciComp Consulting can quickly and economically implement custom calibrators for customers looking for either public domain or proprietary calibration routines that are tailored to their specific requirements.

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Risk management consulting services

SciComp Consulting's skilled, professional quantitative development team provides expert, cost-effective derivatives risk management consulting services. Areas of consulting expertise include, but are not limited to:

  • Risk simulation models
  • Derivatives pricing model validation
  • GPU programming and porting of derivatives pricing models and risk system. components

Find out more about risk management consulting services.

 

Why use SciComp Consulting?

  • Expertise: Our expert quant/developer staff has years of derivatives experience developing pricing models for financial institutions around the globe.
  • Industry standard or customized derivatives solutions: Comprehensive selection of industry standard derivatives pricing models and calibrators, any of which can be customized to meet your exact needs.
  • Pricing models tailored to customer requirements: Customers may specify model features such as the underlying dynamics, the market data and formats, and model output, or they may default such decisions to our expert quant/developer staff.
  • Performance enhanced pricing models: GPU-enabled or OpenMP-compliant derivatives pricing models.

 

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