UnRisk PRICING ENGINE 2 Accelerates High-End Derivatives Analytics for Mathematica
July 21, 2004--Quantitative analysts, traders, risk managers, and
product designers now
have an optimized solution for derivatives analytics with UnRisk PRICING
ENGINE 2 for Mathematica.
UnRisk 2 features the complete reorganization and expansion of the
numerical schemes to solve and calibrate two-factor models with
unparalleled accuracy and speed. Numerical techniques include adaptive
integration, finite elements, streamline diffusion, and regularization.
Other key capabilities new in Version 2 include:
- General steepener schedules
- Callable/putable general constant maturity swaps under one-factor valuation
- Calibration of the two-factor Hull-White model
- Several dynamic new instruments under two-factor valuation including fixed rate bonds, forward-start swaptions,
callable/putable quantos, vanilla caps/floors, and others
With Mathematica, the robust numerical engine of UnRisk
2 produces a powerful computation and programming environment for the
pricing and risk management of financial objects.
"There are challenging issues in the numerical treatment of pricing
and calibration problems, with some severe traps if the numerics
aren't handled carefully," said Andreas Binder, head of MathConsult
GmbH, makers of UnRisk. "UnRisk 2 successfully transfers
high-end numerics from the industrial process and risk control to
computational finance for the most sophisticated deal types."
More information is available.