MoCaX Intelligence is a new-to-the-market algorithm that accelerates existing Risk Engines without the need for complex systems development or expensive hardware upgrades. MoCaX removes the pricing step bottle-neck that often uses over 90% of computational effort in existing engines and increases capabilities by several orders of magnitude with no loss of accuracy.
MoCaX builds on the new Algorithmic Pricer Acceleration (APA) and Algorithmic Greeks Acceleration (AGA) methods. APA synthesises your existing pricers and creates an accelerated version of them. Even your very slowest and complex pricer, passed through MoCaX, will return the same results (down to 10-15 precision) ultra-fast (up to a few nanoseconds). For example, this enables highly accurate Monte Carlo within Monte Carlo in an instant.
AGA is a further enhancement, creating also an ultra-accurate, ultra-fast function of the Greeks of your pricers, even when you do not have an expression for them. This enables for example exact MVA and MVA sensitivity calculations.
APA and AGA work for any pricing function: analytical, tree or MC based; and with any asset class.
With one million accurate Price or Greek values in a few milliseconds, MoCaX delivers:
- massive acceleration of your current simulations
- previously-impossible simulations, e.g. accurate and ultra-fast MVA via real Dynamic SIMM
- potential for trades that had been too slow to simulate, e.g. non-linear products, barriers, bermudans
- enhanced regulatory approval, because MoCaX delivers perfect pricing and widens IMM product scope
MoCaX Intelligence: the next step forward.
Please ask for a free version of MoCaX so you can test it for yourself.
TriOptima provides risk management services for OTC derivatives, reducing costs and eliminating operational and credit risk through a range of services.
triResolve for proactive reconciliation of OTC derivative portfolios, repository validation and dispute resolution
triReduce for multilateral portfolio compression services across OTC product types
triBalance for rebalancing counterparty risk exposure between multiple CCPs and bilateral relationships
triCalculate for the complete spectrum of counterparty credit risk analytics leveraging state-of-the-art massively parallel computing devices
TriOptima maintains offices in London, New York, Singapore, Stockholm, and Tokyo.
The Numerical Algorithms Group (NAG) are experts in numerical algorithms, software engineering and high-performance computing. They have served the finance industry with numerical software and consulting services for over four decades because of their outstanding product quality and technical support. Specifically, relevant to the finance industry, NAG pioneer in the provision of the NAG Library – numerical and statistical components ideal for building Quant Libraries, Risk Applications and the like. NAG also provides best-in-class C++ operator-overloading AD tools for CPU and GPU called dco (derivative computation through overloading) and dco/map (dco meta adjoint programming). The NAG Library and AD tools are used by many of the largest Investment Banks where they are embedded in Quant Libraries and XVA applications. As a not-for-profit company, NAG reinvests surpluses into the research and development of its products, services, staff and its collaborations.
Over the years, financial professionals around the world have looked to Wiley and the Wiley Finance series with its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley continues to respond.
With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.