In 2015, Numerix quantitative experts' contributions were recognized with the publication of three Cutting Edge Articles in Risk Magazine.

 Here featured are the works of Drs. Alexandre Antonov, Serguei Issakov, Michael Konikov, Serguei Mechkov, Ion Mihai and Michael Spector. These works highlight solutions for the SABR Model in negative rates, new efficiencies for the American Monte Carlo method's calculation of future values, and a universal approach to numerical FVA calculation for portfolios of general instruments with multiple stochastic assets and funding sources.

Risk Magazine Cutting Edge Article | The Free Boundary SABR: Natural Extension to Negative Rates
In this Cutting Edge research article published in the September 2015 Issue of Risk Magazine, Alexandre Antonov, Michael Konikov, and Michael Spector present a natural generalization of the SABR model to negative rates—which is very important in the...
Quantitative Research
Quantitative Research Paper | Backward Induction for Future Values
In this research paper, Drs. Alexandre Antonov, Serguei Issakov and Serguei Mechkov generalize the American Monte Carlo method to efficiently calculate future values (or exposures) of derivatives using an arbitrage-free model.
Specifically, they...
Quantitative Research
Risk Magazine Cutting Edge Article | Funding Valuation Adjustment for General Instruments
In this Cutting Edge research article published in the November 2015 Issue of Risk Magazine, Drs Alexandre Antonov, Marco Bianchetti and Ion Mihai develop a universal and efficient approach to numerical FVA calculation for portfolios of general...
Quantitative Research