SciFinance: Optimal Approach for In-House Derivatives Pricing Model Development

Others promise no programming. SciFinance delivers.

The SciFinance® paradigm, unique in the industry, is to automatically generate efficient C/C++-family derivatives pricing model source code from specifications written in an intuitive, finance-specific language.

Reflecting more than 20 years of input from practitioners at top tier financial institutions worldwide, SciFinance is the technology of choice for the in-house development of derivatives pricing models. 

SciFinance generates wrapper code (in Java, Python, .xll, COM, or .NET) to automate integration without imposing proprietary data models. 

Join our customers and slash your derivatives pricing model development time, eliminate run-time license fees, and own your models in perpetuity.

SciFinance - Automatically Generate Derivatives Pricing Models

The SciFinance Advantage

Infinitely customizable derivatives pricing models

No limitations when defining instrument features, terms and conditions of the contract, underlying model dynamics, numerical methods, market data and its format, and model outputs.

Complete model transparency

No “black box” components.  Users have full control through all stages of pricing-model development.

Not a library or a toolkit

No imprecise or limited functionality; users drill down as far as they wish into modeling decisions then let SciFinance implement the rest based upon its extensive knowledge base.

No run-time licenses

Customers can create an unlimited number of pricing models with SciFinance, owning them in perpetuity. SciFinance-generated models have no run-time licenses, so they may be used by an unrestricted number of end users.

Automatic parallel code generation

Automatically generates CUDA or OpenMP-compliant source code for any Monte Carlo-based pricing model (runs on NVIDIA GPUs).  CUDA or parallel programming expertise is not required.

Robust calibration

Two types of solutions for model calibration are available. SciCalibrator lets users develop and integrate their own calibration routines. Ready-to-Use Calibrators are a suite of robust, ready-to-use, standalone calibration tools.

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