MathConsult, the makers of UnRisk, again have laid emphasis on the best numerical methods available for pricing financial derivatives. UnRisk 1.8 introduces streamline diffusion as a special case of finite element techniques for solving convection-dominated partial differential equations with unmatched accuracy and robustness, as it is well known for UnRisk solutions.
"All effort put in UnRisk's numerical schemes pay back now. We have successfully transferred the advanced numerical techniques Adaptive Integration and now Streamline Diffusion for the fast-paced and accurate treatment of complex technical reaction-convection-diffusion systems to computational finance. They allow us to valuate even very sophisticated deal types correctly", says Andreas Binder, head of the UnRisk maker MathConsult.
The UnRisk PRICING ENGINE integrates a computationally optimized numerical engine realized in C++ into Mathematica's powerful computation and programming environment.