SciComp Inc. has been issued U.S. patent number 6,772,136 for its SciFinance software synthesis technology for financial instrument modeling using Monte Carlo simulations. This patent is in addition to a patent awarded to SciComp for the same problem solving environment, but using systems of partial differential equations.
"We're pleased to be granted this second patent for SciFinance" said Curt Randall, Executive Vice President of SciComp. "It underscores the uniqueness of SciFinance in the financial software marketplace. As more and more banks, hedge funds and other financial firms choose SciFinance as their modeling solution, our continued focus will be in helping them reduce development and market response time for developing exotic derivatives products."
SciComp's flagship product, SciFinance, applies both methods to the pricing of financial derivatives. The product automatically transforms a problem description into executable software code. Over the last ten years, SciFinance has been adopted by some of the world's leading investment banks to quickly prototype and validate option pricing models, as well as to generate production codes.
This article appeared in Wilmott Magazine.
SciFinance® automates pricing and risk model development
SciPDE™ and SciMC™ are the core SciFinance modules
SciGPU™ achieves blazing fast performance with CUDA and OpenMP
SciCalibrator™ provides pricing model calibration
SciIntegrator™ eases integration
Standalone customizable pricing and calibration tools.
Derivatives Pricing Models
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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.