SciComp Inc.

For the discerning derivatives modeler

derivatives pricing models

Since 1998, financial institutions around the globe including banks, insurance companies, asset managers, hedge funds and other financial service providers have made SciFinance® the technology of choice for the in-house development of derivatives pricing models.

SciFinance eliminates programming by automatically translating model specifications for financial derivatives into performant, documented C++ source code.

With hundreds of customizable, composable, industry-proven examples to choose from and a robust, transparent modeling environment, users can easily and rapidly create bespoke models for all asset classes.

Product highlights include:

  • Infinitely Customizable
  • Complete Model Transparency
  • Not a Library or Toolkit
  • Automatically Parallel Code Generation

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pricing derivatives

SciComp Consulting is a team of numerical experts focused on the implementation of both industry standard and custom developed pricing and risk models. Having worked with leading practitioners at top tier institutions around the globe for nearly 20-years, SciComp Consulting provides a unique value proposition; a deep knowledge base and extensive practical modeling experience. >Find out more.

Derivatives Pricing Models

SciComp Consulting provides both off-the-shelf and custom developed pricing and calibration models. Unlike vendors that must rely on inflexible pre-built libraries, SciComp’s proprietary technology allows for pricing solutions to be precisely tailored to customer specifications with optimal numerical techniques and methods to be chosen for each model, reasonably and with rapid turn-around.

GPU-Enabled Pricing Analytics

SciComp Consulting GPU-enables any Monte Carlo or PDE-based pricing model, calibration routine or risk system component.

Alternative Investments

SciComp Consulting combines expertise in option pricing methodologies with fundamental and empirical analysis techniques to provide sophisticated solutions for pricing and risk managing alternative investments.

Risk Simulation Models

Design, enhancement and testing of risk simulation models and their components.

Featured Off-the-Shelf Solutions

Universal Convertible Bond Pricing Model

The Universal Convertible Bond Pricing Model values convertible bonds with a broad range of modern CB features. Includes sensitivities and implied quantities. Ideal for CB arbitrage.

Multi-Asset Equity and Variance Linked Notes

SciComp’s Multi-Asset Equity and Variance Linked Notes prices and risk manages auto-callables, reverse convertibles, basket variance structures and callable equity and/or interest rate range accruals.

VIX/SPX Option Calibrator

The VIX/SPX Option Calibrator calibrates a universal volatility model jointly to SPX and VIX options. Ideally suited for arbitrage strategies or pricing volatility contracts.

PCA Based Forward Curve Simulator

The PCA Based Forward Curve Simulator prices and risk manages derivatives sensitive to futures curve evolutions including seasonality.

Stochastic Local Volatility Calibrator

The Stochastic Local Volatility Calibrator mixes deterministic and maximally stochastic local vol surfaces, both calibrated to vanilla options to price arbitrary exotics contracts.

Heston Stochastic Volatility Calibrator

The Heston Stochastic Volatility Calibrator calibrates Heston with term structure of piecewice constant parameters. May include asset level and volatility jumps.

CDS Pricer

The CDS Pricer mploys an intensity-based framework to price standard CDS contracts. A CDS Calibrator is included to extract hazard rate curve.