In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation.                    

The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on quantitative finance and financial software. The goal of the Journal is to serve as a forum for the introduction of new research, modeling methodologies, and presentation of performance and benchmark studies.


TABLE OF CONTENTS

NOTE

Foreword from our CEO

ARTICLES

Dilemmas in the Multiple-Curve Approach

Funding Valuation Adjustment for General

Financial Instruments: Theory and Practice

Primer: Curve Stripping with Full Collateralization

American Monte Carlo: Simulation Technology for Accuracy and Performance

Numerix Model Validation Testing

CrossAsset Server Product Review
 

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