pricing derivatives

New and Improved

For its SciFinance automated pricing and risk model generator, the company introduced SciCalibrator, which allows users to specify calibration problems at a high level and then generate the corresponding source code in C or C++. Version 2.0 of the SciSTCDO pricing and risk engine for single-tranche collateralised debt obligations includes a large pool Gaussian copula model, additional calibration functionality and sensitivity to changes in interest rates and correlation. SciFinance 4.0 C++ code includes the ability to use C++ exceptions to signal errors in place of return codes, making the code more intuitive..

This article appeared in Risk Magazine

Home

Communicate

Videos

NEW! Watch this Webinar: Automatic GPU Computing for Derivative Pricing Models

GPU computing movie

News & Events

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.