SciComp Consulting Overview

derivatives pricing models

SciComp Consulting provides expert, cost effective derivatives pricing and risk management services to the financial services sector.

Derivatives Pricing and Calibration Models

SciComp Consulting provides ready-to-use and custom developed pricing and calibration models. Unlike vendors that must rely on inflexible pre-built libraries, SciComp’s proprietary technology allows for pricing solutions to be precisely tailored to customer specifications with optimal numerical techniques and methods to be chosen for each model, reasonably and with rapid turn-around.

GPU-Enabled Pricing Analytics

SciComp Consulting provides GPU-enabled (NVIDIA GPU) pricing models and risk system components. GPU-enabled pricing analytics is available for any Monte Carlo or PDE based pricing model

Comprehensive Pricing Model Validation

SciComp provides comprehensive derivatives pricing model validation services. Such services may entail a comprehensive analysis of the pricing model and/or calibration implementation, including:

  • Review of the underlying model dynamics and the numerical routines and methodologies;
  • Stress testing scenarios and other performance related analysis.

Risk Simulation Models

SciComp Consulting provides risk simulation models.

  • Design, enhancement and testing of risk simulation models and their components.
  • Identify and port risk system components best suited for GPU-enablement

 

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