Pricing equity, FX and commodity derivatives

SciComp offers two solutions for pricing equity, fx and commodity derivatives, SciFinance and SciCMD.

SciFinance is an automated coding technology for rapidly developing derivatives pricing and risk models. SciFinance models can be created by simply modifying one of hundreds of model templates provided with the system or by writing a model specification comprised of arbitrary partial differential equation (PDE) or stochastic differential equation (SDE), numerical algorithms and the use of key words. SciFinance does the rest by automating the programming task via the SciPDE and SciMC modules to produce fully documented C/C++ source code or Excel spreadsheets and add-ins.

SciCMD meets the needs of users looking for "off-the-shelf" pricing and risk models as well as those seeking a customized model approach that captures particular instrument features and modeling needs. SciCMD models are state-of-the-art pricing and risk models comparable to those found on the desks of traders and risk managers within Tier-1 financial organizations. Like SciFinance, SciCMD supports the modeling of any financial instrument that can be priced using a PDE or SDE and the deliverable may include a ready-to-use Excel add-in or C/C++ source code pricing library.

SciComp's modeling flexibility and transparency provides:

• Support for any equity, fx or commodity derivative (including sensitivity to any model parameter) that can be priced using a PDE or SDE
• Support for both market standard and proprietary pricing models
• Robust calibration routines
• Pricing model C/C++ source code

Pricing models for equity, FX, commodity derivatives

SciComp solutions support any equity, FX or commodity model that can be expressed as a PDE or SDE and no list can be complete (partial list below).

• Local volatility models
• CEV (including time dependence)
• Stochastic volatility models
  • Heston, Hull & White, etc.
  • Arbitrarily user defined
• Stochastic volatility with asset jumps (SVJ)
  • Bates, etc.
  • Arbitrarily user defined
• Stochastic volatility with asset and volatility jumps (SVJJ)
  • Matytsin
  • Duffy, Singleton and Pan
  • Arbitrarily user defined
• Universal models
• Variance gamma, CGMY, CGMYSA, etc.

Pricing model calibration

SciCalibrator is an automated coding technology for translating calibration specifications into C/C++ source code calibration routines and ready-to-use, standalone Calibration Spreadsheets.

Calibration routines for equity/FX/commodity models include:

• Local volatility
• CEV (including time dependence)
• Heston SV
• Heston SV + jumps
• Kou double exponential jump model
• VG and CGMY models
• VGSA and CMGYSA (VG and CMGY + stochastic time change)

Example equity/FX/commodity structures

Given that SciComp solutions support the modeling of any equity/FX/commodity derivative that can be priced with a PDE or SDE and no list can be complete (partial list below).

Examples of equity/FX/commodity derivatives:

• Vanilla options
• Asian options
• Basket options
• Barrier options
• Chooser options
• Cliquet options
• Compound options
• Contingent premium options
• Correlation options, 2-3 assets
• Digital options
• Ladder options
• Lookback options
• Power options
• Volatility options