Adaptive Integration - It began 1997 with a workshop for a London based trading desk of a large American bank. The problem: pricing of complex Asian convertible bonds. No sufficient solution available. At this workshop Andreas suggested the application of a new method for solving the then adequate PDEs - on the fly.
Adaptive Integration, an asymptotic math scheme, is still the method of choice for the valuation of a variety of moderately complex instruments in UnRisk. But there are other methods all fit for model purposes (organized orthogonally).
UnRisk - When we decided to make a product we needed a name. All key people (owners, managers, key creators) made a joint effort combining arts & science thinking, triggering curiosity, activating neural pathways outside mathematical problem solving ...
After 3 hours it came, like a lightning: UnRisk. With UnRisk we did not mean "remove risk" (there is optimal risk linked to each deal), but to know and understand risk. The hidden analogy from risk to UnRisk is like from fold to unfold.
UnRiskverse - The scientific background of the UnRisk makers is numerical mathematics, with a leading competence in inverse problems. This is important when treating calibration problems correctly.
In general, if you know advanced (inherently parallel) numerical schemes, you are able to do on a contemporary multicore PC, what might need a supercomputer else, .. This enabled us to apply our reverse innovation marketing strategy. Make big systems for the small first (and offer them to the larger market participants then). This is how the UnRiskverse is designed.
Well-tempered business - At the beginning, traders and treasurers wanted a fast, accurate and robust pricing and calibration engine. For their hot businesses. This was delivered by the UnRisk PRICING ENGINE. But over time risk management became the indispensable control unit that should make financial businesses cool businesses.
This is what our UnRisk FACTORY is built for: put computers to good use while risk managers are sleeping.
Bundling the FACTORY with our development environment, UnRisk-Q, enables quant developers to support their well-tempered business of choice.
Quantsourcing - This is our business model in one word.
UnRisk does quant work for those who do not have quant teams but also supports quants, energized by motivations such as innovation.
