Derivatives Pricing Models
Expert, cost-effective computational finance consulting services. SciComp Consulting provides ready-to-use and custom enhanced derivatives pricing models. Our highly-skilled, professional quantitative development team can implement both standard and proprietary pricing approaches tailored to your particular needs and requirements.
Pricing models are available as Windows/UNIX/CUDA pricing executables, C/C++/CUDA pricing model source code or as ready-to-use Excel spreadsheet/add-ins.
- Derivatives pricing models for all asset classes including:
- Equity Derivatives
- FX Derivatives
- Commodity Derivatives
- Convertible Bonds, Ultimate CB Pricing Model
- Primary and Secondary Bonds
- Interest Rate Derivatives
- Cross Currency Structures
- Energy Derivatives
- Credit Derivatives, STCDO, CDS
- Hybrid
Instruments
- Calibration tools including:
- Heston Stochastic Volatility Calibrator (including time bucketing of parameters)
- Local Volatility Calibrator
- Local-Stochastic Volatility (SLV)
- 1- or 2-Factor Short Rate Calibrator
- Gabillion, Schwartz, and other futures based commodity models
- Copula based single and basket futures curve market models
- Credit Calibrators
- CDS Calibrator
- Large Pool Model Calibrator
- Semi-Analytic Implied Base Correlation
- Custom Calibrators
- Derivatives
pricing models consulting services
- Comprehensive derivatives model development:
- Design
- Implementation
- Testing
- Proprietary derivatives pricing model development
- Derivatives pricing model validation
- GPU-enablement of derivatives pricing models
- Comprehensive derivatives model development:
Why use SciComp Consulting?
- Expertise: Our expert quant/developer staff has years of derivatives experience, developing pricing models for financial institutions around the globe.
- Efficient, economical: Derivatives pricing model development at a fraction of the cost (in both time and money) of typical internal development or via open source systems.
- GPU programming and porting services for derivatives pricing models and risk system components.
Need more information or a quick price quote? Contact us >>