SciComp provides Custom Developed Derivatives Pricing and Custom Calibrators that can be precisely tailored to customer specifications.
Unlike vendors that rely upon pre-built libraries or toolkits, SciComp’s Custom Developed Pricing Models 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.
All asset class support and robust underlying model dynamics
SciComp's Custom Developed Derivatives Pricing Models that support both industry standard and user-defined model dynamics for all asset classes, including, but certainly not limited to:
Underlying model dynamics
Industry standard underlying dynamics include, but are not limited to:
- Local volatility models (LV)
- Stochastic volatility models (SV), including asset (SVJ) and variance jumps (SVJJ)
- Stochastic local volatility models (SLV)
- SABR, Levy models, including stochastic time change, VG, CGMY, CGMYSA, etc.
- Schwartz, Gabillon, with Stochastic Vol extensions
- Log-normal forward models with local volatility
- Single and multi-factor short rate models
- Libor Market Models (LMM), Lognormal, local or stochastic volatility, SABR
- Credit Models
- Reduced form approaches
- Structural/Firm value approaches
- Multi factor models
- Implicit joint dependence
- Copulae in Monte Carlo
- Semi-analytic method of Andersen, Sidenius and Basu
- Large Pool Base Correlation
- Stochastic recove sry models (MC and semi-analytic)
Arbitrary user defined models:
SciComp supports the implementation of any derivatives pricing model valued using systems of partial differential equations (PDEs), stochastic differential equations (SDEs), or analytic functions. Therefore users may define a nearly unlimited range of public-domain and proprietary models.
Model integration features
SciComp products do not impose proprietary data models, so code integration does not require wasteful data containers or format conversions. All pricing and calibration products are available as Excel spreadsheet/add-ins, Windows/Unix executables (can be embedded in Java, Python, COM, or .NET wrappers) or C++ source code.