SciComp Inc. Newsletter

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Test Drive the Stochastic Local Volatility Calibrator

Sign-up to test drive this new Stochastic Local Volatility Calibrator.

Upcoming Events

Stop by our booth at Global Derivatives USA, November 19-22 in Chicago.

Off the Shelf and Custom Pricing Models

Our expert quantitative development staff at SciComp Consulting can develop a wide variety of derivatives pricing models, calibration routines and risk management tools that can be tailored to your requirements.

 

For more information on SciFinance, contact SciComp sales.

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SLV Calibrator

Test Drive the Stochastic Local Volatility Calibrator

The SLV Calibrator is based on a method first proposed by Lipton [Risk, Feb 2002] and follows the implementation described in the Bloomberg paper "Stochastic Local Volatility" by Tataru & Fisher. The SLV Calibrator takes any calibrated LV surface that matches vanillas. Then, using a non-linear Fokker-Planck equation, it adds a SV component and for any given set of SV parameters computes a new "leveraged local volatility surface" that still matches the vanillas, while accommodating SV. The SLV Calibrator then applies to this PDE solution a Levenberg-Marquardt optimizer and finds the (time bucketed) SV parameters that yield a maximally flat leveraged local volatility surface.

At this point you have the pure LV model (the original LV surface) and the pure SV model (the SV parameters that yield a nearly flat leveraged LV surface). Both models fit the vanillas. The SLV Calibrator then solves for a mixing fraction the mixes the two models together either by a) calibrating to selected exotics, or b) using historical data.

Click here to get started


Upcoming Events

SciComp to Exhibit at Global Derivatives USA - Chicago

SciComp will demonstrate its products and have a speaking slot at the event. Visit us at our booth, we would like to discuss with you how we can help to take your derivatives pricing to the next level. We look forward to seeing you there.

  • Chicago, November 19-22, 2013
  • Swissotel Chicago, Chicago IL

As a special discount to readers of our newsletters, quote VIP code: FKN2366SCIEM and receive a 25% discount.

Click here for more event information.

 

Off the Shelf and Custom Pricing Models

Our expert quantitative development staff at SciComp Consulting can develop a wide variety of derivatives pricing models, calibration routines and risk management tools that can be tailored to your requirements. Our expert quant/developer staff has years of derivatives experience, developing pricing models for financial institutions around the globe.

  • Off-the-shelf industry standard models
  • Rapid turn around custom models with proprietary contract features or underlying dynamics
  • No model 'too exotic'
  • Comprehensive derivatives model development:
    • Design
    • Implementation
    • Testing
  • GPU programming and porting services for derivatives pricing models, calibrators and risk system components.
  • C/C++/CUDA source code, Excel, .NET, Java,. exe, etc.

Find out more or get a quick quote

 

 

SciComp

SciComp Inc., 5806 Mesa Drive
Suite 250, Austin, TX 78731
512-451-1050
http://www.scicomp.com

For more information on SciComp products:
http://www.scicomp.com/