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 requirements.

 

pricing hybrid derivatives

Hybrid derivative features

Pricing models for hybrid derivatives*

  • 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
  • Schwartz/Gabillon 
  • 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

Hybrid derivatives pricing model calibration

Calibrators are available for hybrid derivatives pricing models.

Hybrid derivative model classes*

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

SciFinance®

  • 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.

SciComp Consulting

  • 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:
    • Design
    • Implementation
    • Testing
  • Performance enhanced pricing models: GPU-enabled or OpenMP-compliant derivatives pricing models.