Hybrid Instrument Pricing Models

One size does not fit all. SciComp offers two types of solutions for customers seeking hybrid instrument 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.

 

hybrid instrument derivatives pricing models

Hybrid instrument pricing models

Industry standard hybrid instruments derivative models 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. 

Industry standard commodity and energy models 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, Gabillion, and Gabillion + stochastic volatility extensions
  • Lognormal forward models with local volatility

Industry standard interest rate models include, but are not limited to: 

  • One-factor and multi-factor short rate models, e.g. Gaussian, CIR, BK.
  • Libor Market Models (LMM), lognormal, local and stochastic volatility, SABR
  • Swap Market Models (SMM), lognormal, local and stochastic volatility, SABR
  • Coupled stochastic short rate + hazard rate models

Industry standard credit models include, but are not limited to: 

  • Reduced form models
  • Structural models
  • Multi-factor models
  • Implicit joint dependence
  • Copulae in Monte Carlo
  • Semi-analytic method of Andersen, Sidenius and Basu
  • Large Pool Base Correlation
  • Stochastic recovery models (MC and semi-analytic)

In addition: SciComp supports the implementation of any derivatives pricing model valued using systems of partial differential equations (PDEs) that are highly accurate for up to three stochastic factors, stochastic differential equations (SDEs) with an unlimited number of stochastic factors in Monte Carlo including quasi-random sequences and early exercise via customizable regression , or analytic functions. Therefore users may define a nearly unlimited range of public-domain and proprietary models.

 

Hybrid instrument pricing model calibration functions

SciComp customers may select from two types of solutions for model calibration: SciCalibrator, a module of SciFinance that helps users develop their own calibration functions; and Ready-n-Customizable Calibrators a suite of robust, ready-to-use, standalone calibration functions. Any of the Ready-n-Customizable Calibrators can be tailored to meet customer requirements.

 

Hybrid instrument contract types

An infinite variety of contract features are available with SciComp solutions. With SciFinance, customers can edit the provided specifications to adjust payoffs, add new path dependencies and define a limitless array of exotic contract features. SciFinance users can also write specifications from scratch to develop completely customized models. SciComp Consulting customers can request any hybrid instruments derivative model features they wish.

 

Get more information on hybrid instruments derivatives pricing models. Contact us >>

 

SciComp solution benefits for hybrid instruments

SciFinance®

  • Helps achieve project development goals: Ideally suited for a broad range of hybrid instrument derivative pricing model development projects.
  • Infinitely customizable 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 make all modeling decisions and may drill down as far as they wish or let SciFinance decide based upon its extensive knowledge base.

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 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.