Numerix Journal Vol. 1, No. 2
In the Vol. 1 No. 2 Issue of the Numerix Journal, we cover XVAs, the martingale test, Numerix LSV model, and structured note annuities.
Prudent Valuation: Bridging the Gap Between Pricing & Risk Management
Dr. Marco Bianchetti and Ilja Faerman discuss the new Prudent Valuation regulations, interpret the numerous AVAs and examine their calculations, and discuss best practices in implementing a Prudent Valuation framework. Register to view On-Demand.
Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework
In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models.
Fast-Reversion Limit of the Heston Model
In this research paper, Dr. Serguei Mechkov examines the Heston model.
Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models
Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years.
Indexed Variable Annuities - Evolving Product Designs in the Annuity Market
Insurers are merging the best features of FIA and VA products to create a new range of hybrid designs. Alex Marion reviews the new Indexed Variable Annuity, IVA, product designs and discusses best practices for the risk management, hedging and reserving of these products. Register to view On-Demand.
The Case for Dynamic Replication of Indexed Annuities
Traditionally market risk exposure from Indexed Annuities is managed via static hedging programs. Mark Hadley explores strategies for dynamic hedging, an approach which can offer a more cost effective option in the face of low rates and the competitive landscape. Register to view On-Demand.
Numerix Journal Vol. 1, No. 1
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.
Model Risk: The Challenges of Legacy Code and Best Practices
In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation.
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Options for Collateral Options
Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time.
Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More
Numerix expert Dan Li discusses how vanilla derivative valuations have become very complex, and how to deal with this new complexity. Register to view On-Demand.
Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives
Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting. Register to view On-Demand.
The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics
This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts.
Advanced OIS Discounting - Building Proxy OIS Curves When OIS Markets are Illiquid or Nonexistent
Dr. Ion Mihai discusses how to build proxy OIS curves from available market information in currencies where the OIS market is not well developed. Register to view On-Demand.
Funding Value Adjustment for General Financial Instruments: Theory and Practice
This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level.
Mastering Model Risk: Assessment, Regulation and Best Practices
In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk.
Advanced OIS Curve Building Approaches: Improving Accuracy at the Short End of the Curve
Numerix featured speaker Mark Hadley discusses ways derivative market practitioners can enhance the bootstrapping process for the short end of OIS curves, and how these approaches will become more important as rates rise.
SABR Spreads Its Wings
Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’.