SciComp Technology for Derivatives Pricing Models
One size does not fit all. SciComp offers two types of solutions for customers seeking derivatives pricing models:
The SciFinance® paradigm, unique in the industry, is to automatically generate efficient C-family derivatives pricing model source code from specifications written in an intuitive, finance-specific language. SciFinance also generates wrapper code to automate integration without imposing proprietary data models. Join our customers and slash your derivatives pricing model development time, eliminate run-time license fees, and own your models in perpetuity.
- SciComp Consulting provides ready-to-use, industry standard or custom developed pricing models for any asset class. Unlike vendors that rely upon pre-built libraries or toolkits, SciComp Consulting builds pricing models to exact customer specifications using state of the art numerical methods and customer selected interfaces.
Derivatives pricing models providing all asset class support
SciComp solutions support derivatives pricing models across all asset classes, including but not limited to:
- 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
Robust derivatives pricing model calibration
SciComp customers benefit from two types of solutions for model calibration. SciCalibrator is a module of SciFinance that gives users the ability to develop their own calibration functions. Ready-n-Customizable Calibrators is a suite of robust, ready-to-use, standalone calibration functions.
SciFinance: In-house development of derivative pricing models
SciFinance is ground-breaking software for building derivative pricing models. Using an intuitive, very high-level programming language (VHLL) for describing financial contracts and numerical methods, SciFinance provides a friendly, versatile environment in which to make and implement modeling decisions. Specify the choices that are important, then let SciFinance handle the rest using its extensive knowledge base. SciFinance eliminates programming by automatically translating model specifications for any financial derivative into fully documented C-family source code in minutes. SciFinance generates wrapper code (in Java, Python, .xll, COM, or .NET) to automate integration without imposing proprietary data models. Developed by SciComp, a leading provider of derivatives pricing models and risk management consulting services for over 15 years, SciFinance reflects input from practitioners at top tier institutions worldwide.
The SciFinance advantage
SciFinance is the technology of choice for the in-house development of derivatives pricing models with unique features in a flexible and cost-effective environment.
- Helps achieve project development goals: Ideally suited for a broad range of derivatives pricing model development projects.
- Implement proprietary trading and arbitrage strategies
- Hedge risk exposure
- Validate pricing models
- Value and risk manage derivatives
- Infinitely customizable derivatives pricing models: No limitations when defining instrument features, terms and conditions of the contract, underlying model dynamics, numerical methods, market data and its format, and model outputs.
- Complete model transparency: No “black box” components and users have full control through all stages of pricing-model development.
- Not a library or toolkit: No imprecise or limited functionality; users drill down as far as they wish into modeling decisions then let SciFinance implement the rest based upon its extensive knowledge base.
SciComp Consulting: Industry standard or custom derivatives pricing models
SciComp Consulting provides ready-to-use, efficient derivatives 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 derivatives pricing models.
SciComp Consulting: the smart choice for derivatives pricing models
- 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 the 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.