The LIBOR Transition: Fallback Curve Analysis
Learn about the latest developments from ISDA’s IBOR fallback consultation and how you can use Numerix CrossAsset to conduct P&L impact analyses on LIBOR fallback curves.
Neural Networks with Asymptotics Control
Artificial Neural Networks (ANNs) have recently been suggested for use in derivatives pricing applications as accurate and fast approximators to various financial models.
Risk.net | LIBOR Countdown: Spotlight on Derivatives
This webinar examined the pros and cons of swaps fallback language, the case for pre-cessation triggers, as well as preparing for SOFR/ESTR discounting.
The Market Impact of SOFR Discounting: What We Know So Far
Numerix Senior Vice President, Financial Engineering; Ping Sun, shares The Market Impact of SOFR Discounting: What We Know So Far
The Capital Markets 2020: In the Eye of Two Storms
In this white paper, Numerix Chief Strategy Officer and EVP of Client Services, Satyam Kancharla, provides his view on the drivers of change and their implications for the current and future state of the capital markets.
LIBOR Transition in 2020: Discussion with Numerix & Greenwich Associates
As the industry moves closer to LIBOR’s planned 2021 transition, in this video roundtable discussion Ping Sun, SVP of the LIBOR Transition for Numerix and Kevin McPartland, MD for Greenwich Associates discuss their top LIBOR transition concerns going into 2020.
Trading, Technology and the LIBOR Transition
Discover the driving forces behind the LIBOR transition in this new ebook prepared by Greenwich Associates.
Analyzing the Market Impact of SOFR Discounting
In this white paper, Ping Sun, Senior Vice President, Financial Engineering, explains the differences between OIS curves and SOFR curves, and the impact of SOFR discounting on future cashflow.
Numerix Journal Vol. 6 No. 1
The Vol 6. No. 1 Issue of the Numerix Journal highlights Numerix's achievements in two areas: the ongoing quantitative research and development which extends the functionality of our products, and the innovative Python-based approach to CrossAsset templates. The issue presents papers on the following topics: multi-curve modeling for tenor basis spreads, a new arbitrage-free parametric volatility surface, and STIRs and OIS futures in the Hull-White model. This journal concludes with an article on next generation python-based templates, and introduces the concept of a CrossAsset worker process.
Subscribe to our monthly newsletter to get exclusive resources from Numerix.
STIRs and OIS Futures in the Hull-White Model
This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping.
Applying AI to Streamline the LIBOR Transition
Learn how Numerix and Python can be used to perform impact analysis on the switch from OIS to SOFR discounting, including the expected cash compensation and risk exchanges from major clearing houses in October 2020.
Greenwich Associates Webinar: Trading, Technology and the Libor Transition
An interactive discussion on the impacts of the Libor transition on the technology and processes that power the trading desk.
Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting
Learn how Numerix and Python can be used to perform impact analysis on the switch from OIS to SOFR discounting, including the expected cash compensation and risk exchanges from major clearing houses in October 2020.
Preparing for the Switch to SOFR Discounting
Ping Sun, SVP of Financial Engineering for Numerix explores the many facets of discounting risk as exchanges switch from OIS to SOFR discounting.
Talking XVA: Pace of Adoption, New Technology & Cloud
Numerix’s Irina Slobodyanyuk, Lead Product Manager for XVA and Financial Engineer for Risk, shares her expert insights on these key topics and more
Advances in Tenor Basis Modeling: Boundedness, Specification & Calibration
In this webinar, Andrew McClelland Ph.D., introduces a lower-bounded multi-curve Cheyette model, with lower bounds owing to level dependence in spread volatilities and derives swaption pricing formulae and other quantities relevant for practical use.
A "Playbook" for Automating the Front Office
This paper serves as a brief “playbook” on how to get started on automating the front office. Author, Jim Jockle, CMO of Numerix discusses several proven strategies.
How to Prepare for the Next Phases of Initial Margin Requirements
This webinar explores what’s changed under the newest revisions, what’s expected ahead of final phases and took a deep dive into key lessons learned from the prior phases.
Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption
In this article, we develop a technique of parameter averaging and Markovian projection on a quadratic volatility model based on a term-by-term matching of the asymptotic expansions of option prices in volatilities.
Markovian Projection to a Displaced Volatility Heston Model
In this article, we generalize the results of Markovian Projection onto a Heston model to a wider class of approximating models, a Heston model with displaced volatility.
Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt.
Markovian Projection onto a Displaced Diffusion
In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes.
Markovian Projection Onto a Heston Model
In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process.
Efficient Calibration to FX Options by Markovian Projection in Cross-Currency LIBOR Market Models
In this article, we revisit the cross-currency LIBOR Market Model armed with the technique of Markovian projection.
Overlapping Credit Portfolios
In this article, we present an accurate analytical approximation for a joint distribution function of loss of two overlapping credit portfolios using the multidimensional saddlepoint method.
Analytical Techniques for Synthetic CDOs and Credit Default Risk Measures
In this article, we present pricing and risk management of synthetic CDOs and risk management of credit portfolios are closely related problems as both require modeling of the same distribution of portfolio loss.
Interest Rate Modelling Framework in Discrete Rolling Spot Measure
In this paper authors Alexander Antonov and Han Lee present a discrete framework on event time grid for a cross-currency term structure modelling.