derivatives pricing models

Expert, cost-effective derivatives consulting

 

Industry standard or custom derivatives pricing models

SciComp Consulting provides ready-to-use, efficient pricing and calibration products 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 and calibration routines 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.

All asset class support

SciComp Consulting develops derivatives pricing models across all asset classes, including but not limited to:

Derivatives contract features

SciComp Consulting customers can specify a limitless array of exotic contract features such as conditional pay-offs and floating leg reset formulas, numerical features such as boundary conditions or constraints, and interface specifics such as solvers or data containers.

Underlying model dynamics

Industry standard underlying dynamics include, but are not limited to: 

  • Black-Scholes
  • Local volatility models (LV)
  • Stochastic volatility models (SV), including asset (SVJ) and variance jumps (SVJJ)
  • Stochastic local volatility models (SLV)
  • SABR, Levy models, including stochastic time change, VG, CGMY, CGMYSA, etc. 
  • Schwartz, Gabillon, Gabillon with volatility smiles
  • Log-normal forward models with local volatility
  • Single and multi-factor short rate models
  • Libor Market Models (LMM), Lognormal, local or stochastic volatility, SABR
  • Credit Models
    • Reduced form approaches
    • Structural/Firm value approaches
    • Multi factor models
    • Implicit joint dependence
    • Copulae in Monte Carlo
    • Semi-analytic method of Andersen, Sidenius and Basu
    • Large Pool Base Correlation
    • Stochastic recove sry models (MC and semi-analytic)

Arbitrary user defined models: SciComp Consulting supports the implementation of any derivatives pricing model valued using systems of partial differential equations (PDEs), stochastic differential equations (SDEs), or analytic functions. Therefore users may define a nearly unlimited range of public-domain and proprietary models.

 

Model integration features

SciComp Consulting products do not impose proprietary data models, so code integration does not requiring wasteful data containers or format conversions. All pricing and calibration products are available as source code or as Windows or Unix executables, and can be embedded in Java, Python, .xll, COM, or .NET wrappers.

 

Standalone products*

Ultimate Convertible Bond Pricing Model is a robust, ready-to-use convertible bond pricing engine for valuing a full range of convertible bonds with both standard and exotic bond features.

CDS Pricer employs an intensity-based framework to price a standard credit default swap contract with upfront payment and subsequent running coupons. A CDS Calibrator is included to extract the underlying piecewise constant hazard curve from standard CDS market quotes

Bond Calculator is a standalone calculation engine that provides a robust suite of bond calculations for both primary and secondary bond issues.

Yield Curve Builder constructs a yield curve from a set of user defined input parameters and a series of user input cash and swap rates.

*Any of these ready-to-use, standalone products can be tailored to a customer’s particular modeling needs.

 

Ready-n-Customizable Calibrators

Ready-n-Customizable Calibrators are a suite of robust, standalone, ready-to-use calibration functions. Any of these calibration functions can be tailored to meet customer requirements.

 

 

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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