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UnRisk PRICING ENGINE 2 Accelerates High-End Derivatives Analytics for Mathematica

Published July 21, 2004

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.