In-house derivatives pricing model development


Reduce development time, costs and risks with SciFinance®, the ultimate flexible coding solution for building derivatives pricing models.

 

SciFinance

  • Complete model transparency
  • Generates C/C++/CUDA derivatives pricing model source code
  • Not a toolkit, you make the modeling decisions
  • Supports the modeling of any PDE or Monte Carlo-based derivatives pricing model
  • Generate pricing models for any asset class

 

SciGPU

  • Automatically generates CUDA source code for any Monte Carlo pricing model
  • 30X-50X faster than serial code (single GPU, double precision)
  • OpenMP-compliant code: executes with nearly linear speed-up

Cross asset support for any financial derivative:

 

 

pricing derivatives

Derivatives Pricing Models and Expert Consulting


Expert, cost-effective consulting services. Derivatives pricing models, calibration routines and risk management tools.


 

Derivatives Pricing Models

  • Off the shelf industry standard models
  • Rapid turn custom models with proprietary contract features or underlying dynamics
  • No model 'too exotic'
  • C/C++/CUDA source code, Excel, .NET, Java,. exe, etc.

 

Calibration

  • Local Vol, Stochastic Vol, Stochastic-Local Vol
  • Multi-Factor Short Rate and Libor
  • Commodity futures
  • Credit

 

Consulting Services

  • Custom derivatives pricing models
  • Risk scenario and simulation enhancements
  • Pricing model validation
  • GPU programming and porting of derivatives pricing models and risk system components