pricing derivatives

SciComp strategy

...the company plans to release a new examples catalogue for its automated pricing model generator SciFinance, which will enable users to code and price very exotic derivatives. An upgraded version of SciIntegrator will provide extra functionality for developers using Microsoft's .Net and Java. Also planned is SciCal+, which will provide calibration for such things as local volatility, stochastic volatility and stochastic volatility plus jumps...SciComp plans an ASP version of SciFinance.

This article appeared in Risk Magazine

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SciComp to exhibit at Global Derivatives Trading & Risk Management. 25% Discount for SciComp Contacts.

16 - 20 April 2012, Hotel Arts Barcelona

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.