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UnRisk PRICING ENGINE Products
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UnRisk PRICING ENGINE
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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