Web newUnRisk Apr2014

Innovation Creates the Classics of the Future - For a major step forward we change the cores completely and represent the UnRisk Financial Language on other programming languages

Over one hundred customers enjoy UnRisk's benefits. It runs from Mathematica, Excel or a web front end. To analyse portfolios across scenarios in record time, we drive advanced numerical schemes on CPU/GPU architectures over grids .

With UnRisk-Q, we have unleashed the programming power behind UnRisk solutions. UnRisk objects, functions, data, .... are manipulated by the UnRisk Financial Language

Packing 11 years experiences into a reverse innovation process we go beyond. We reinvent UnRisk. 

When we began working on newUnRisk, we considered every component and function that defines a high demand-high performance risk managment system - pricing and calibration power, valuation and data managent integration, portfolio and scenario construction, task scheduling and automation, wide access, as well es expandability. We challenged ourselves to find the best way to make newUnRisk complient with the future computing muscles and development environments. The resulting core will be entirely new. 

Multi-Language - Platform Agnostic - Inherently Parallel - Cross Platform

Something radically different from anything before. But when we will tie all together, the result will continuously support our principles: broadest coverage, white-box and one-to-one solutions and services. 

These pages will grow with the progress of UnRisk - you find prototypical examples in UnRisk Multi Language (UnRisk Financial Language in multiple representaions) and Inherently Parallel


 

The benefits that big institutions derive from large database server farms are something UnRisk is working to deliver to smaller enterprises through developing distributed solutions

Herbert Exner and Andreas Binder of the Austrian based Unrisk consortium are excited about where distributed computing and solutions are going. UnRisk2 integrates an optimized C++ engine into Mathematica. It is intended as complete solution for front office professionals who require immediate derivatives and structured products pricing and analytics for sophisticated deal types.


UnRisk2’s declarative programming environment, object-oriented structure and high-end numerics stress tested in industrial processes and finance, facilitate rapid instrument building and model development. Mathematica Notebooks and Excel Workbooks access a single analytics platform. “Financial institutions, especially the large ones, are used to thinking about information technologies particularly as a result of transactions utilizing a huge amount of data. Consequently, their infrastructure is designed for this, employing large database server farms.” Says Exner. “With the advent of quantitative approaches in finance and its specialized requirements new people, knowledge and methodologies had to be integrated into the banking environment, but the understanding of approaches in infrastructure and technology has remained relatively static.”

To get the whole article, please download the article Down on the Farm.

 


 

The numerical treatment of partial differential equations in computational finance started with binomial and trinomial trees, with all the drawbacks related to these approaches. In the meanwhile (see, e.g., Duffy 2004, in the July issue of this magazine), finite differences are widely used in modern derivatives pricing. We present how pricing software can be developed on the basis of finite element techniques, which allow more flexibility than finite differences.

Mean reverting models for interest rates tend to become numerically difficult in regions sufficiently far away from the mean-reverting level. The reason is that the convection dominates the diffusion in these regions, and therefore techniques for convection-dominated flows should be applied. We present how streamline diffusion is applied to obtain stable numerical schemes.

To get the whole article, please download the article Finite Elements and Streamline Diffusion for the Pricing of Structured Financial Instruments.

 

 

Get Most Out of The Products

You find the complete online documentation here and we will provide a growing number of screen casts and demonstrations. But as derivatives and risk expert you also need the view behind the curtain. This is why we not only deliver products but know-how packages. Consequently we present full explanation on the technical foundations and mathematical approaches.

The UnRisk Academy has been set in operation to tie all exploration items together and extend product user training by high-level quantitative finance seminars covering advanced models, methods, deal cases, PDEs, PIDEs and numerical schemes, Monte Carlo simulation - Longstaff Schwartz, calibration, ....

With the same intention, we feed our UnRisk Insight Blog with mathematical and technological backgrounds.

 

News

UnRisk @ Spezialtag MiFID II

UnRisk @ Spezialtag MiFID II

UnRisk will speak at Spezialtag MiFID II am 06.12.2016: Anlageberatung 4.0...

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UnRisk consortium and Multilateral AG teamed up to found UnRiskOmega AG

UnRisk consortium and Multilateral AG teamed up to found UnRiskOmega AG

UnRiskOmega is a cooperation of the three companies multilateral AG, uni softwar...

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Mathematica & UnRisk Workshop in Paris

Mathematica & UnRisk Workshop in Paris

Wolfram Research and UnRisk have teamed up again to invite you to a free worksho...

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UnRisk in Paris

UnRisk in Paris

We are deligthed that UnRisk has spoken at the Wolfram Finance Event "A Workout...

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UnRisk Pricing Engine 8.1 Released

UnRisk Pricing Engine 8.1 Released

UnRisk today announced it has released UnRisk 8.1, an enhanced version of UnRisk...

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UnRisk Factory 6 is here

UnRisk Factory 6 is here

UnRisk Factory 6 is realeased with new features in valuation, instruments, marke...

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UnRisk 8 Released

UnRisk 8 Released

UnRisk today announced it has released UnRisk 8, an enhanced version of UnRisk-Q...

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Success Stories

UnRisk and Solventis - Or How To Build Up a SaaS Solution with UnRisk Technologies

UnRisk and Solventis - Or How To Build Up a SaaS Solution with UnRisk Technologies

Solventis is an independent financial group established in 2002 by a team of pro...

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UnRisk seals cooperation with multilateral AG

UnRisk seals cooperation with multilateral AG

multilateral AG is an innovative Swiss IT-Consulting and software engineering co...

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Dupire - Robust Calibration of Local Volatility Models

Dupire - Robust Calibration of Local Volatility Models

For the so-called local volatility model, Bruno Dupire derived a closed form sol...

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Workout in Computational Finance

Workout in Computational Finance

The intention of the book is to give a sound overview on numerical methods which...

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