UnRisk2. High-End Numerics transferred from Industrial Risk Control to Computational Finance.

On 12-Jul-04, The UnRisk consortium today announced the release of UnRisk2 the next generation of its UnRisk PRICING ENGINE for Mathematica, the fast-paced and accurate derivatives analytics solution. UnRisk2 turns two-factor short rate models into values by representing them with the most advanced numerical schemes and solve the inverse problem of model calibration correctly.

MathConsult, the makers of UnRisk, again have laid emphasis on the best numerical methods available for pricing derivatives and structures. UnRisk2 summons adaptive integration, finite elements, streamline diffusion and regularization techniques for solving financial partial differential equations with unmatched accuracy and robustness.

"There are challenging problems in the numerical treatment of pricing and calibration problems, and there are quite a few severe traps if doing the numerics not carefully. For the most sophisticated deal types we have successfully transferred our high-end numerics from industrial process and risk control to computational finance", summarizes This e-mail address is being protected from spambots. You need JavaScript enabled to view it , head of MathConsult, makers of UnRisk, the careful approach.

UnRisk2 integrates a computationally optimized numerical engine realized in C++ into Mathematica's powerful computation and declarative programming environment. Its careful design aims at the pricing and risk management of financial objects, which represent a whole universe of real world financial instruments.