Considering Stochastic Mortality in Pricing Variable Annuities: Applications of the Lee Carter Model
This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities.
Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice
In this white paper, Numerix VP and Insurance Product Manager Ghali Boukfaoui, explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG).
USLV: Unspanned Stochastic Local Volatility Model
In this article, we propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives.
A Quantitative Look at FVA - Theory and Implementation
Many practitioners have found developing and implementing an accurate FVA framework challenging both theoretically and practically. Join Numerix on 2/28 for a quantitative discussion with Dr. Alexandre Antonov, SVP, Quantitative Research, as he reviews current FVA theory and outlines a new universal FVA framework. Register to view On-Demand.
Breaking Black: The Hybrid Nature of Investment Guarantees
Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand.
Economic Scenario Generation: Risk Neutral Modeling in Theory and Practice
Numerix webinar Replay discussing Risk Neutral Economic Scenario Generation. Will cover foundations of Risk Neutral Theory, Hybrid Framework and Joint Calibration approaches and Advanced Indicies Generation. Register to view On-Demand.
Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization
In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps.
Double No Touch and Other FX Option Strategies for Low Volatility Markets
This case study covers various foreign exchange (FX) option strategies that take advantage of low volatility market conditions. Specifically, it explores the risks, benefits and mechanics of traditional strategies, such as straddles and strangles, but also focuses on and examines more advanced FX option strategies, such double no touch (DNT) options, European range bet (ERB) options and DNT options in emerging markets.
Deciphering FVA: Understanding, Modeling and Using Funding Value Adjustment
Webinar discussing Funding Value Adjustment (FVA) and its role in derivative valuations, trading, and liquidity management.
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Advanced FX Hedging Strategies (and what NOT to do): A Case Study
Learn advanced FX hedging strategies and what is most effective.
Algorithmic Exposure and CVA for Exotic Derivatives
In this article, we develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments.
Capturing Stochastic Volatility: Key to Trading Inflation Derivatives
Modeling the smile and capturing the stochastic nature of volatility has become critically important for inflation derivatives trading.
Analytical Approximations for Short Rate Models
In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models.
Bates Model and Cliquet Pricing in Numerix
Bates stochastic volatility jump-diffusion model is the market standard model for pricing exotic options that depend heavily on the forward skew, such as cliquets and other forward-starting trades.
Generalized Vanna-Volga Method and Its Applications
In this article, we give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in application to pricing of contracts with European exercise on a single underlying.
Decoupled American Option Pricing Method: Computation of Implied Volatilities and Further Applications
In this article, we introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal.
Dynamic Model for Pricing and Hedging Heterogenous CDOs
In this article, we present a simple bottom-up dynamic credit model that can be calibrated simultaneously to the market quotes on CDO tranches and individual CDSs constituting the credit portfolio.
Analytical Formulas for Pricing CMS Products in the LMM with Stochastic Volatility
In this paper, we develop a series of approximations for a fast analytical pricing of European constant maturity swap (CMS) products, such as CMS swaps, CMS caps/floors, and CMS spread options, for the LIBOR Market Model (LMM) with stochastic volatility.