SciComp

What SciComp does

SciComp Inc. is a privately held, Austin, Texas-based software firm founded in 1994 that builds automated derivatives pricing and risk management solutions for large financial institutions. Its flagship product, SciFinance, is a proprietary software-synthesis platform that converts high-level, finance-specific model specifications into executable C/C++ source code (with optional CUDA for GPU acceleration) for PDE, Monte Carlo, and hybrid pricing methods across all major asset classes — equity, FX, commodity, convertible bonds, interest rate, cross-currency, energy, credit, hybrid instruments, and alternatives. SciComp holds two U.S. patents (6,173,276 and 6,772,136) covering this synthesis approach, and its CEO Elaine Kant (Stanford CS PhD, AAAS/AAAI Fellow) and EVP Curt Randall (computational finance veteran) anchor a small (1-10 employee) specialist team.

The company monetizes primarily through one-time enterprise software licenses and custom development services, supplemented by a catalog of ready-to-use pricing and calibration products (Convertible Bond Pricer, CDS Pricer, STCDO Engine, VIX/SPX Calibrator, Heston/SLV/Futures Vol Surface calibrators, American Option Pricer, Bond Calculator, etc.) and consulting services for model validation and simulation. Distribution combines direct sales (offices in Austin, New York, and Amsterdam) with regional channel partners Syndeo (Americas, UK, Russia, Asia, Australia) and CANdiensten (Benelux, Western Europe, Africa), plus a strategic technology partnership with NVIDIA for GPU-accelerated pricing that delivers 30-100X speedups over serial code. Named institutional customers include Bank of America/Merrill Lynch, Commonwealth Bank of Australia, LBBW, NRW.BANK, ABN Amro, BOCI, Fortis, and Reval. The firm added Neural Network-based pricing and calibration in 2019 as an AI-acceleration layer trained on its rigorous model outputs.

Name

SciComp

Legal name

SciComp Inc.

Website

https://scicomp.com

Company type

Private

Founded year

1994

Operating status

Operating

Headcount range

11–50 employees

Short description

SciComp Inc., founded 1994 in Austin, Texas, provides automated derivatives pricing and risk management software — led by its SciFinance code-synthesis platform — to large global banks, asset managers, and insurance firms.

Ownership category

akta.pro rank

Product category

Derivatives Pricing Software

NAICS

Software Publishers (5132)

SIC

Asset-Backed Securities (6189)

akta.pro primary industry

Structured Credit (ABS/MBS/CLO/CDO) (FSAHAGAC)

akta.pro secondary industry

Specialty Finance / Structured Credit (FSANADAE)

Keywords

• Derivatives pricing software
• Financial risk analytics
• Quantitative model development
• Monte Carlo simulation
• Computational finance software

Headquarters

HQ city

Austin

HQ country

United States

HQ region

North America

Offices4 records

Markets served

GTM type

B2B

Offering type

Software

Cost components

Personnel, Technology or R&D, Marketing or Sales, Operations, Others

Revenue model

1. Software Licensing: SciComp licenses its software products including SciFinance, custom developed models, and ready-to-use pricing/calibration tools. Products are available as C/C++ source code, Windows/Unix executables, Excel spreadsheet add-ins, or embedded in Java, Python, COM, .NET wrappers. No run-time licenses required for generated code.
2. Custom Development Services: Consulting services for custom derivatives pricing model development tailored to exact customer specifications using state-of-the-art numerical methods.
3. Ready-to-Use Software Products: Pre-built pricing and calibration products including Convertible Bond Pricer, STCDO Engine, CDS Pricer, Bond Calculator, Heston/SLV Calibrators, and others available for direct purchase and deployment.

Pricing tiers

Go-to-market motion2 records

Distribution channels4 records

Marketing channels6 records

Core offering

SciComp develops and licenses SciFinance, a proprietary software synthesis platform that automatically generates C/C++-family derivatives pricing model source code from high-level, finance-specific model specifications. The platform supports Monte Carlo, PDE, and hybrid numerical methods, with optional GPU acceleration via NVIDIA CUDA delivering 30-100X speedups, and is sold alongside ready-to-use pricing/calibration engines and custom model development services for financial institutions.

Product overview

SciComp offers a dual-mode product portfolio centered on its flagship SciFinance automated code synthesis platform. The core offering is SciFinance, which generates C/C++/CUDA pricing model source code from high-level specifications, paired with ready-to-use pricing products (convertible bond pricer, American option pricer, CDS pricer, commodity spread option pricer, VIX/SPX calibrator, STCDO engine, Bond Calculator, PCA Forward Curve Simulator, Multi-Asset Equity/Variance Linked Notes) and ready-to-use calibrators (Heston SV, Stochastic Local Volatility, Futures Volatility Surface). Additional modules include SciCalibrator (calibration code synthesis), SciMC (Monte Carlo code generator), and SciXL (Excel add-in generator). Neural Network acceleration and GPU-enabled pricing are integrated capabilities. SciComp also provides custom model development and consulting services covering all asset classes (equity, FX, commodity, convertible bonds, interest rates, cross currency, energy, credit, hybrid instruments, alternative investments) as well as model validation and simulation services.

Differentiator

Problem solved

Functional benefit

Brands

• SciFinance: Flagship automated derivatives pricing code generation technology that automatically generates C/C++-family pricing model source code from high-level model specifications.
• SciCalibrator
• SciMC
• SciXL
• SciSTCDO

Products and services

• SciFinance Flagship software synthesis platform that automatically generates efficient C/C++-family derivatives pricing model source code from high-level, finance-specific model specifications for enterprise quantitative teams.
• SciSTCDO / Single-Tranche CDO Pricing Engine Standalone Gaussian copula-based pricing and calibration engine for single-tranche collateralized debt obligations, with CDS calibration for hazard rate extraction and CDO calibration for base correlations, GPU-enabled on NVIDIA hardware.
• CDS Pricer Intensity-based credit default swap pricing engine that prices standard CDS contracts with upfront payments and running coupons, with an internal CDS Calibrator that extracts piecewise constant hazard curves from market quotes.
• Universal Convertible Bond Pricing Model Fast, accurate, flexible PDE-based solution for computing fair value, sensitivities, and implied quantities for convertible bonds, supporting all standard and a wide range of exotic features including CoCo conversion, make-whole provisions, and stochastic volatility dynamics.
• High Speed American Option Pricing Model High-throughput American option pricer utilizing fast PDE, integral equation, and semi-analytic approaches for portfolios of options with discrete cash or proportional dividends, capable of running approximately 18,000 options/second/CPU core.
• Heston Stochastic Volatility Calibrator Least-squares calibrator of a Heston model via Levenberg-Marquardt for calibrating stochastic volatility models to market option prices, applicable to simple European options on single assets.
• Stochastic Local Volatility Calibrator Calibrator that adds stochastic volatility components to calibrated local volatility surfaces using a non-linear Fokker-Planck equation and Levenberg-Marquardt optimization for multi-asset and rate derivatives.
• Futures Volatility Surface Calibrator Calibrator that extends the classical log-normal Gabillon model to incorporate volatility smiles for commodity futures, improving accuracy of derivatives valuations.
• PCA Based Forward Curve Simulator Ready-to-use simulator using principal component analysis to project forward curves for single assets, reducing dimensionality to user-determined principal components and accommodating seasonality.
• Commodity Spread Option Pricing Model Pricing model for intra-commodity (calendar spread options) and inter-commodity spread options using either lognormal or Gabillon futures dynamics with optional local volatility calibration.
• VIX/SPX Option Calibrator Standalone calibrator for a universal volatility model jointly calibrated to SPX and VIX options, combining local volatility, stochastic volatility multiplier, and simultaneous jumps in asset level and volatility.
• Bond Calculator Standalone bond calculation engine providing robust calculations for price/yield, asset swap spread, Z-spread, with support for various day count conventions, holiday calendars, and coupon structures.
• Multi-Asset Equity and Variance Linked Notes Pricing for multi-asset equity and variance linked notes including auto-callables, reverse convertibles, and basket variance structures using both PDE and Monte Carlo methods.
• Neural Network Solutions for Pricing & Calibration Neural network implementations trained on rigorous pricing model data to accelerate derivatives valuations by orders of magnitude while preserving fidelity, including SABR examples for European and double no-touch futures options.
• GPU-Enabled Pricing Analytics with NVIDIA CUDA GPU-enabled pricing analytics for Monte Carlo and PDE-based pricing models using NVIDIA GPUs, delivering 30-100x acceleration over serial code without requiring CUDA expertise from users.
• Custom Developed Derivatives Pricing Models Custom-built derivatives pricing and calibration models tailored to exact customer specifications across all asset classes, using state-of-the-art numerical methods and customer-selected interfaces with comprehensive documentation.
• Simulation Models Service Asset and risk simulation model design, implementation, enhancement and testing services including PCA-based analysis, PFE (Potential Future Exposure) simulation, and counterparty/funding cost modeling.
• Pricing Model Validation Service Comprehensive derivatives pricing model validation services including review of model dynamics, numerical routines, stress testing, and performance analysis.

Quantifiable outcome

• GPU-enabled models run 30-100X faster than serial code for Monte Carlo simulations
• +4 more outcomes

Named customers9 records

Segments8 records

Ideal customer profiles3 records

Technology focussed Yes

API detail

Has API

No

API docs

API detail

Core technology

AI maturity

App detail

Integration5 records

AI capability3 records

Feature5 records

Partnerships

Five partnerships are on record, tiered core, development, supporting and primary.

• NVIDIAcoreTechnology or Integration · 1 January 2007SciComp partnered with NVIDIA to integrate CUDA programming architecture into SciFinance for GPU-enabled parallel computing. NVIDIA's graphics processing units power SciComp's derivatives pricing models with 30-100X speed improvements. SciComp is recognized as one of the first companies to embrace GPU potential in computational finance.
• Planatech SolutionsdevelopmentImplementation/ SI/ Consulting PartnerLondon-based software development and consulting company that co-developed SciXL with SciComp. Specializes in interfaces between different languages and technologies, providing consultancy and development services for financial technology integration.
• Exchange Data International (EDI)supportingTechnology or IntegrationEDI specializes in collection and delivery of hard-to-get, accurate and high quality data for the financial industry, providing customized data sets for worldwide corporate actions, dividends, prices, and securities reference data.
• SyndeoprimaryChannel Partner/ Reseller/ DistributorSciComp's sales representative for North and South America, United Kingdom, Russia, Asia and Australia. Manages regional sales distribution and customer relationships across these territories.
• CANdienstenprimaryChannel Partner/ Reseller/ DistributorSciComp's sales representative for Benelux, Western Europe and Africa. Provides sales support, technical support, consulting and seminars on SciFinance. Offers complete solution including software, training, consultation, installation, courses, and customization services.

Scale indicators5 records

Recent moves6 records

Expansion highlights5 records

Emerging players

• MathFinance: MathFinance is a quantitative finance consulting firm specializing in derivatives pricing models and numerical methods, comparable to SciComp's custom development and model validation services for financial institutions across Europe.
• OpenGamma: OpenGamma provides open-source and commercial derivatives analytics, addressing similar derivatives pricing and risk use cases as SciComp, particularly for buy-side firms and modern technology stacks that prefer Python-native deployments.

Direct peers

• PolyPaths: PolyPaths offers derivatives pricing and fixed income analytics to financial institutions, comparable in scope to SciComp's asset class coverage and target customer profile of mid-to-large financial firms.
• Murex: Murex is a leading capital markets software platform used by major global banks for derivatives pricing, trading, and risk management, overlapping with SciComp's tier-1 banking customer base and asset class coverage.
• Calypso Technology: Calypso provides a unified capital markets platform covering trading, risk, and processing for derivatives, directly competing with SciComp in derivatives pricing and risk analytics for sell-side and buy-side institutions.
• Quantifi Solutions: Quantifi provides derivatives and fixed income analytics software, serving banks and asset managers with pricing and risk models that directly overlap SciComp's SciFinance platform capabilities and target customer profile.
• FINCAD: FINCAD offers derivatives analytics and pricing software for enterprise risk management, with a comparable customer base of banks, asset managers, and corporates using derivatives and a similar focus on transparent model-based pricing.
• Numerix: Numerix provides cross-asset derivatives pricing and analytics software to banks and asset managers, competing most directly with SciComp's SciFinance and ready-to-use pricing products across all asset classes with a similar enterprise sales motion.

Broad incumbents

• MSCI: MSCI provides risk and analytics platforms (including derivatives valuation via its acquisition of RiskMetrics and Barra) used by large financial institutions, with broader portfolio analytics that partially overlap SciComp's pricing tools as part of a much wider data and analytics franchise.
• Bloomberg (BVAL Pricing Analytics): Bloomberg's BVAL pricing and analytics suite offers derivatives pricing and valuation services to its broad installed base of financial professionals, providing overlapping capabilities as part of a much wider financial data and analytics portfolio.

Market position

Strengths5 records

Weaknesses5 records

Competitive moat5 records

Key risks7 records

Key highlights7 records

Customer concentration

• Xx.com/scicompinc
• YouTubeyoutube.com/user/SciCompInc?sub_confirmation=1
• Facebookfacebook.com/pg/SciCompInc
• LinkedInlinkedin.com/company/147548

Revenue estimate

Valuation estimate

Number of profiles

Profiles3 records

Funding overview

Funding rounds1 record

Investors1 record

Funding detail is available on the Subscription and Enterprise plan.Contact sales →

M&A

Investments

M&A and investment is available on the Subscription and Enterprise plan.Contact sales →

Frequently asked questions about SciComp