SciFinance: The Advantage for Derivatives Pricing Model Development

Others promise no programming. SciFinance delivers.

derivatives 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.

  • 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.
  • Robust calibration: Two types of solutions for model calibration are available. SciCalibrator lets users develop and integrate their own calibration routines. Ready-n-Customizable Calibrators are a suite of robust, ready-to-use, standalone calibration tools.
  • No run-time licenses: Customers can create an unlimited number of pricing models with SciFinance, owning them in perpetuity. SciFinance-generated models have no run-time licenses, so they may be used by an unrestricted number of end users.
  • Automatic parallel code generation: Automatically generates CUDA or OpenMP-compliant source code for any Monte Carlo-based pricing model (runs on NVIDIA GPUs). Absolutely no CUDA or parallel programming expertise is required.

Typical SciFinance pricing model development projects

Providing comprehensive, all asset class support, SciFinance helps its customers successfully achieve their pricing model development project goals, no matter what section of the industry or functional area they serve. Customers may:

  • Implement proprietary trading and arbitrage strategies: Customers can shield their proprietary strategies and leverage in-house developers by an order of magnitude. Using an intuitive VHLL for describing financial contracts and numerical methods, developers can focus on trading strategies rather than programming, letting SciFinance translate their modeling choices into fully documented source code.
  • Hedge risk exposure: Selecting from comprehensive examples catalogs over all asset classes, developers can modify or add features such as underlying dynamics, market data, and model outputs. SciFinance provides a cost-effective environment for implementing pricing models and integrating them using Java, Python, .xll, COM, or .NET wrappers.
  • Validate pricing models: With no “black box” components and complete model transparency, quantitative analysts have full control over pricing model implementation. SciFinance allows rapid validation of existing models via alternative techniques.
  • Value and risk manage derivatives: SciFinance's user-friendly development environment and hundreds of customizable, industry-proven examples across all asset classes facilitate the implementation of highly efficient derivatives pricing models, including GPU-enabled or OpenMP-compliant versions. Model integration is made easy by various code wrappers and no imposed proprietary data models.

SciFinance provides all asset class support

SciFinance's flexible modeling architecture provides support for all asset classes, including but not limited to:

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