Thursday May 10, 7:07 am Eastern TimePress Release
SOURCE:
SciComp Inc.SciComp Inc. Releases SciMC, New Monte Carlo Software for Pricing Derivatives
SciMC Helps Quantitative Analysts and Risk Managers Rapidly Price Derivative Securities
AUSTIN, Texas, May 10 /PRNewswire/ -- SciComp Inc. today announced the
release of SciMC(TM), software for automatically transforming brief
specifications into executable C code for Monte Carlo derivative models.
SciMC combines SciComp's intelligent software synthesis technology with
efficient Monte Carlo techniques to automatically generate C code without
manual programming.
SciMC provides extremely fast and flexible Monte Carlo
simulation codes, reducing programming and modeling time for derivative model
development.
``SciMC is a powerful addition to the SciFinance® suite of products,''
said Elaine Kant, president of SciComp.
``We are confident that it will
satisfy our customers' needs to quickly produce robust, customized Monte Carlo
codes.
We've found that the codes can run up to 100 times faster than other
simulations and solve problems that are beyond library codes and general Monte
Carlo engines,'' Kant added.
SciMC handles sophisticated mathematical and financial features including
exotic path dependencies, jumps, high dimensionality, deterministic sequences,
choice of variance reduction techniques, and American or Bermudan exercise.
Using SciComp's ASPEN high-level specification language, users can define any
number of stochastic differential equations that describe the underlying
processes, a payout discount, sensitivity functions and (optionally) algorithm
choices.
Using ASPEN's macro feature and expressive payoff language,
quantitative analysts can package these sophisticated features into easily
accessible form for traders and marketers.
Other SciMC features include the
ability to specify discrete events such as dividends and barrier monitoring, a
variety of pseudo-random number generators, and distribution functions,
including deterministic sequences for performance improvements.
SciMC is the latest addition to the SciFinance software suite that also
includes SciPDE(TM) and SciXL(TM).
SciFinance's patented methodology provides
pricing without programming.
SciMC can be licensed separately, or combined
with SciPDE and/or SciXL.
SciPDE uses efficient finite difference algorithms
to generate derivatives pricing codes.
Together, SciMC and SciPDE can be used
to price a wide variety of options, and the results can be easily
cross-checked.
Users can add the SciXL module to generate codes as
spreadsheet add-ins and immediately experiment with their models in
Microsoft® Excel.
SciFinance-generated codes are not black-box executables
-- users own them and there are no run-time licenses.
About SciComp Inc.
As the recognized leader in software synthesis, SciComp provides automated
pricing technology to the financial services industry.
SciComp's products are
used by some of the world's largest investment banks to decrease the
turnaround time for derivative model development.
Visit
http://www.scicomp.com or call 512-451-1050 for more information.
