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
'SciMC is a powerful addition to the SciFinance(r) 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
algortithms to generate derivative 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(r) 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.