SciComp Inc.
Newsletter

SciComp: Your Derivative Pricing & Risk Management Partner
 
SciComp provides robust, cutting edge technology tools that provide easy-to-use, cost-effective solutions for derivatives pricing and risk management.

SciFinance3
SciFinance Continues Its Evolution
 
SciFinance, the premier derivatives pricing code generation technology, continues to evolve with more powerful functionality.
 
By automatically translating model specifications for any financial derivative in
to fully documented C++ or CUDA source code, SciFinance provides an optimal tool for model
development, prototyping, model validation, risk management and quantifying counterparty exposure.
 
SciFinance does not impose a set of pre-implemented, "black-box" canned models, but instead allows users to easily and rapidly create bespoke models, thus facilitating the evaluation of a model's conceptual soundness and its sensitivity to changes in model parameters.
 
A new library for complex basket equity linked notes (ELNs). ELNs often have complex features, e.g., knock-in of an alternative payout, coupons based on equity performance including range accrual that may knock-in or knock-out and automatic or discretionary early redemption. SciFinance now includes a collection of ready-to-use Monte Carlo macros that capture these complex, but commonly found ELN features.
 
Using the macro library even the most complex ELNs can be specified in a half page. SciFinance then generates the corresponding pricing model code. For a GPU-enabled version of the code, with identical numerical results, simply add a single keyword to the specification and resynthesize the code. 
 
PDE and MC methods for  over hedges Overhedges are useful when managing the exposure of a financial product that contains discontinuities in payoff, coupons, or other cashflows (as in ELNs), by limiting the frequency and cost of hedge rebalancing. SciFinance includes several methods for easily modelling over/under hedges for both PDE and Monte Carlo based pricing models (including GPU Monte Carlo code).
 
Bilateral counterparty risk and funding costs in derivative pricing can often be represented as nonlinear terms in PDE models.  SciFinance, which includes several choices for nonlinear PDE solutions, therefore allows these important components of XVA to be modelled by robust and computationally efficient PDE methods.

 
GPU
GPU-Enabled Pricing Analytics
 
SciComp GPU-enables pricing models and risk system components. SciFinance automatically generates CUDA (NVIDIA GPU) source code for any Monte Carlo based pricing model. SciComp Consulting GPU-enables any PDE-based pricing model or calibration routine.

 

Consulting
SciComp Consulting
 
Our skilled quantitative development team provides expert, cost-effective derivatives consulting services. From implementing industry standard pricing models for any asset class to enhancing risk simulation models.
 
Ready
Ready-to-Use Pricing Analytics

VIX Option Analzyer
 
SciComp's VIX Option Analyzer is a ready-to-use module that calibrates a universal volatility model jointly to SPX and VIX options while generating prices and sensitivities under the calibrated model. The calibrated model is ideally suited for identifying arbitrage opportunities or pricing and hedging OTC volatility contracts.
 
 

Universal Convertible Bond Pricing Model
 
The Universal Convertible Bond Pricing Model is a ready-to-use solution for valuing a broad range of convertible bonds. Users can easily specify all the relevant features of modern convertible bond such as soft calls, CoCos, dividend protection, CoPays, Hyper features, many types of make whole features, change of control provisions, etc.
 
 

PCA-Based Forward Curve Simulator
 
SciComp's PCA-Based Forward Curve Simulator is a ready-to-use simulator that projects forward curves for a single asset class (e.g., commodities, equity, FX rates, etc.) using PCA analysis of the covariance matrix of historical forward price returns.  Users chose number of factors, paths, pseudo or quasi-random simulation, and forward horizon.  Quality of fit diagnostics are provided.  Seasonality is captured via segmentation of data, and may be calibrated or exogenously imposed. 




Please contact me if you have any questions or require any additional information.

Dean Tallam, SciComp Sales Representative 
New York, NY direct: (212) 327-1777