UnRisk

UnRisk 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 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.

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Key Capabilities:

• Valuation of equity and FX derivatives under a local volatility surface
• Valuation of the most sophisticated types of equities, FX, and interest rates
• Inclusion of dozens of exotic options and complex structured products, and a vast universe of exotic contract features
• Callability and multiple callability of even the most complex structures
• Calculation of hedging, sensitivity parameters, and survival probabilities
• Advanced calibration schemes for pricing and risk analysis with respect to market data
• Insight into complex contracts by means of graphical exploration
• Elegant instrument-building capabilities
• "What-if" analysis with respect to contract features

Designed for use by quantitative analysts, traders, risk managers, treasurers, and product designers, UnRisk offers a choice of front ends. It can be used both from within Mathematica and, with the addition of Mathematica Link for Excel, within Excel. With these two options available, traders, treasurers, risk managers, quants, and risk controllers can collaborate on a single-source model in the task-oriented environment of their choice.

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