Custom Developed Derivatives Pricing and Calibration Models
SciComp has been developing derivatives pricing and calibration models for financial institutions around the globe for over 20 years.
Unlike vendors that rely upon pre-built libraries or toolkits, SciComp’s Custom Developed Pricing Models and Custom Calibrators support all asset classes and are built to exact customer specifications using state of the art numerical methods and customer selected interfaces.
All pricing models are provided with comprehensive model documentation and a complete description of the model implementation. A source code licensing option is available. SciComp can also provide GPU-enabled or OpenMP-compliant versions of the derivatives pricing and calibration models.
Custom Developed Derivatives Pricing Models
SciComp can develop models across all asset classes, with robust underlying model dynamics, arbitrary user defined models, and model integration features. Find out more.
SciComp can quickly and economically implement Custom Calibrators for users looking for either public domain or proprietary calibration routines that are tailored to their specific needs and requirements. Find out more.