"After the UnRisk launch in March, 2001, the UnRisk makers have constantly provided new features. UnRisk has now all necessary front ends, for immediate use, as well as customization, development and integration. It allows me to implement ground breaking integrated solutions in unexpected short time", Roman Mäder, Zürich, Integrator of advanced Mathematical Finance Solutions.
In addition to the point&click front end, UnRisk PRICING ENGINE for Mathematica V 1.5 delivers powerful enhancements, including
… A volatility term structure in the generalized Hull-White model, which makes market prices of liquid instruments like caps / floors even better replicable.
… An advanced calibration scheme for the identification of a Hull-White model from market data
The UnRisk PRICING ENGINE integrates a computationally optimized numerical engine realized in C++ into Mathematica's powerful computation environment. It is a complete solution for traders, risk managers and treasurers, who require immediate valuation of the value and the Greeks of financial derivatives, sensitivity analysis with respect to various market data and insight into complex contracts by means of graphical exploration. Quantitative analysts, product designers and risk controllers, who search for quick modeling- and customization capabilities and what-if analysis with respect to contractual rules and assumed future market developments will also benefit from UnRisk. Its flexibility, precision and velocity is powered by Adaptive Integration a proprietary method of MathConsult.
