UnRisk PRICING ENGINE

Features

Financial Instruments

• A wide range of derivatives and structured instruments of equities, FX, interest rates, and inflation
• European, Bermudan, American, Asian, and vast universe of exotic contract features
• Multiple callability

See full list of supported financial instruments:
http://www.unrisk.com/index.php/products/coverage

Interest Rate Models

• Black76
• Vasicek
• Generalized Hull-White
• Black-Karasinski
• LIBOR Market Model
  with advanced calibration schemes

Equity Models

• Generalized Black Scholes
• Dupire
• Heston
• Variance Gamma Model
• Normal Inverse Gaussian Model

FX Models

• Garman-Kohlhagen
• Dupire

Inflation Models

• Stochastic Inflation Model in combination with 1 Factor Hull & White Model

Front Ends

• Mathematica
• Microsoft Excel via a proprietary link with built-in parallelization

System Requirements

• Microsoft Windows platforms
• Mathematica
• Microsoft Excel

System Extensions

• NVIDIA Tesla 20 series GPU cards with CUDA support