UnRisk PRICING ENGINE 2

Fast, Accurate Pricing of Derivatives in Mathematica

UnRisk PRICING ENGINE is a tool designed to combine speed with precision in the analysis of financial derivatives. By integrating Mathematica, the world's leading technical computing system, with optimized C++ libraries, UnRisk PRICING ENGINE provides an extremely reliable ready-built solution that offers both the flexibility of a high-level programming language and the speed necessary for production use.

Key Capabilities

• Inclusion of dozens of exotic option types
• Valuation of equity and interest-rate derivatives
• Calculation of implied volatility, hedge, and sensitivity parameters
• Sensitivity analysis with respect to market data
• Insight into complex contracts by means of graphical exploration
• Rapid modeling, configuration, and parameterization
• "What-if" analysis with respect to contractual rules and potential market developments

Designed for use by quantitative analysts, traders, risk managers, treasurers, and product designers, UnRisk PRICING ENGINE offers a choice of front ends. It can be used from within the Mathematica front end or as an Excel add-in (with the addition of Mathematica Link for Excel). With two front ends available, traders, treasurers, risk managers, quants, and risk controllers can collaborate on a single-source model in the task-oriented front end of their choice.

Developed and supported by UnRisk Consortium.

UnRisk PRICING ENGINE 2 requires Mathematica 4 or 5, Mathematica Link for Excel, and a compatible version of Microsoft Excel. UnRisk PRICING ENGINE is available for Windows.

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