Pricing Hybrid Instruments
One size does not fit all. SciComp offers two types of solutions for pricing hybrid derivatives:
- The ultimate flexible coding solution, SciFinance® is a C/C++/CUDA source code generator for building derivatives pricing models in-house. Providing you full control over modeling decisions, SciFinance significantly reduces development time and costs.
- Our expert quantitative development staff at SciComp Consulting can
develop a wide variety of standard
or custom derivatives pricing models,
calibration routines and risk management tools that are tailored to your
Hybrid derivative features
- Local volatility models (LV)
- Stochastic volatility models (SV), including asset (SVJ) and variance jumps (SVJJ)
- Local stochastic volatility models (LSV)
- SABR, Levy models, including stochastic time change, VG, CGMY, CGMYSA, etc.
- Single or multi-factor short rate models
- Libor Market Models
- Reduced form approaches
- Structural/Firm value approaches
- Multi factor models
- Implicit joint dependence
- Copulaes in Monte Carlo
- Semi-analytic method of Andersen, Sidenius and Basu
- Large Pool Base Correlation
- Stochastic recovery models (MC and semi-analytic)
- Custom user defined models
Calibrators are available for hybrid derivatives pricing models.
SciFinance supports the valuation of any hybrid instrument that can be valued with a PDE or Monte Carlo methodology. The legs of the hybrid instrument may be based on any type of asset class including:
- Equity derivatives
- FX derivatives
- Interest rate derivatives
- Commodity derivatives
- Energy derivatives
- Credit derivatives
*partial, representative list
Get more information on hybrid derivative pricing models. Contact us >>
SciComp solution benefits for hybrid derivatives
- No-hand coding, no-black boxes: Generates source code from concise, high-level model specifications. Not an inflexible set of library routines that offers imprecise or limited functionality.
- Comprehensive: Cross-asset support with hundreds of model specifications, easily modified through keywords.
- Latest techniques without the learning curve: Automatically generates GPU-enabled pricing model source code. No parallel computing or CUDA programming expertise is required.
- Customer-driven: Developed with the input of practitioners at top-tier financial institutions worldwide.
- Expertise: Our expert quant/developer staff has years of derivatives experience, developing pricing models for financial institutions around the globe.
- Ready-to-use or customized derivatives solutions: Comprehensive selection of ready-to-use pricing models and calibrators, any of which can be customized to meet your exact needs
- Comprehensive derivatives model development:
- Performance enhanced pricing models: GPU-enabled or OpenMP-compliant derivatives pricing models.