pricing derivatives

SciComp Releases SciCal Calibrator for SV and SVJ Models

SciComp Inc. has released SciCal software for calibrating stochastic volatility (SV) and stochastic volatility + jumps (SVJ) pricing models to market data. The modern search variant used in SciCal is very fast --SciCal can calibrate from a handful to hundreds of options to market data in under a minute.

This article appeared online at Numa.web

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Software vendors and service providers ease GPU adoption

...this approach masks the complexity of parallel programming from the end user, leaving them free to define the characteristics of the pricing model that they want to run on GPUs.