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WELCOME TO BRODA

BRODA supports all areas of information systems specializing in the development
and marketing of innovative scientific software. BRODA also offers consultancy
services to financial institutions and produces specialist financial software
for quantitative analysts.

BRODA's success formula has been coined by talented people using robust
technologies to meet complex business requirements. Through alliances with
professionals from all over the world BRODA provides effective solutions for
both large and small companies, tailoring software to meet the needs of our
customers.


COMPANY BRIEF

Banks today are looking to advance approaches that will ensure available capital
is put to its most effective use. One way to improve profitability is to invest
in IT infrastructure and new software that will better manage risk, decrease
operating costs, and help drive growth. Monte Carlo (MC) simulation is unique
universal method and it is at the heart of pricing and risk management engines.

Historically MC Methods have been used in the valuation of options with multiple
sources of uncertainty or with complicated features such as path dependent
structures. The MC method solves a problem by simulating the underlying process
and then calculating the (average) result of the process. Basel III introduces
two major changes in risk assessments: the Credit Valuation Adjustment (CVA)
capital charge, and the new calculation of EEPE (Effective Expected Positive
Exposure) to address wrong-way risk. Both of these measures require accurate
estimation of credit exposure, which enables banks to actively manage
counterparty credit risk and help reduce regulatory capital. The expected
exposure is computed by simulating many future scenarios of risk factors for the
given contract or portfolio. The number of risk factors (interest rates, stock
indices, foreign exchange rates, etc.) multiplied by the number of time steps in
the future can result in tens of thousands of dimensions. Hence, risk management
engines require the use of multidimensional MC methods.

Although MC is a universal method widely used in finance, the rate of
convergence of MC is rather slow. A much higher rate of convergence can be
obtained by using quasi-Monte Carlo (QMC) methods based on Sobol' low
discrepancy sequences which provide the best solution for applications in
finance requiring MC methods.

Paul Glasserman in his highly acclaimed book "Monte Carlo Methods in Financial
Engineering" (2004) says: “Preponderance of the experimental evidence amassed to
date points to Sobol sequences as the most effective quasi-Monte Carlo method
for application in financial engineering.” Comparison between MC and QMC shows
that applications based on QMC converge up to two orders of magnitude faster
without loss of accuracy than those based on MC. For the same number of
scenarios, QMC methods show much more accurate and stable results properties
than MC, which result in a dramatic reduction of computational time. Switching
from MC to QMC is a straightforward replacement of MC generator by the Sobol
sequence generator and it offers a cost-effective solution for improving bank’s
existing computer capabilities.

BRODA has been developing, testing and distributing high-dimensional Sobol
sequence generators for more than 20 years. All our generators were developed
jointly with Prof. Sobol. Comparison tests show that our SobolSeq generators
outperform all other known generators both in speed and accuracy. BRODA’s high
dimensional Sobol sequences generators have become the industry standard in
finance.

Take a look at our products and feel free to contact us for any additional
information.

September 12, 2023
BRODA is pleased to announce publication of the paper "The importance of being
scrambled: supercharged Quasi Monte Carlo" in the Journal of
Risk,26(1),1-20,2023



November 11, 2022
BRODA presented a talk on "The importance of being scrambled: supercharged Quasi
Monte Carlo" at QuantMinds 2022 conference. The full version of this talk is
also published as a paper



May 5, 2021
SS&C Technologies Holdings, Inc. (Nasdaq: SSNC) today announced an exclusive
partnership with BRODA Ltd. to provide BRODA's high dimensional Sobol sequence
generators to financial services firms. "SS&C has embedded BRODA's Sobol
sequence generators within the SS&C Algorithmics suite of solutions to optimize
risk performance."



August 1, 2020
BRODA with a team from Intel developed the "block" version of the SobolSeq65536
sequence generator with integrated Intel oneAPI Math Kernel Library: "Toward
Accurate and Highly Performant Simulations with BRODA's SOBOL Quasi-random
Number Generator"



December 10, 2019
BRODA and a team from KX systems - the leading provider of in-memory,
time-series database technology joined forces and linked kdb+/q with advanced
BRODA's SobolSeq generators: "Kx Whitepaper: Option Pricing Methods in kdb+/q"

March 14, 2018
BRODA and a team of bank practitioners present a series of talks on "Application
of Quasi Monte Carlo Methods in Finance" which covers Quasi Monte Carlo Methods
from the basic theory to the benefits of using QMC in computations, including
XVA's and counterparty risk measures with real world examples and simulations in
the CQF Institute which is a part of Fitch Learning.

February 12, 2018
BRODA released a new scrambled 131072 dimensional Sobol' sequence generator
SobolSeq131072. Randomised QMC methods based on BRODA's SobolSeq131072 generator
converge much faster in comparison the standard QMC.

August 15, 2017
BRODA congratulates Prof. Sobol' on his 90th birthday. Prof. Sobol' is an
outstanding mathematician internationally renowned for his fundamental works in
mathematics. BRODA is proud to have a long term working relationship with Prof.
Sobol. We wish him good health, new scientific achievements and many happy years
ahead.

December 1, 2015
BRODA released a new 65536 dimensional Sobol' Sequence generator Not only this
generator has very high dimensionality and employs the super fast generation
algorithm but the generated Sobol' sequences satisfy Property A in all
dimensions and property A' for the adjacent dimensions. It was  developed by
Prof. Sobol' in collaboration with BRODA. 

April 16, 2004
Wilmott magazine awarded Prof. Sobol' the first Wilmott fellowship.


LATEST NEWS

"There is a commercial library module available from an organisation called
BRODA that can generate Sobol sequences in up to 370 dimensions. In a way, this
module can claim to be a genuine Sobol' number generator since Professor Sobol'
himself is behind the initialisation numbers that drive the sequence, and he is
also linked to the company distributing the library."
--Peter Jackel, “Monte Carlo methods in finance”, John Wiley & Sons, 2002.


"The knowledge that BRODA is effectively Sobol's company, the superb
performance, along with my own statistical tests, but especially the peace of
mind that this professional software gives me, says that spending this kind of
money is well worth it!! By the way I have no connection with the company!"
--Mike Weber, Eriswell Capital LLP


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