analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
Resources Filter by Type All Resources Publications Webinars Case Studies Videos Podcasts Events Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform video Numerix: Pushing Boundaries to Create Breakthrough Technology Learn why Numerix is the leading provider of capital markets technology Watch video webinar Build Capital Market Apps Faster with NxCore Cloud Find out how NxCore - the next-generation development platform creates value for development teams – and their end-users. Register Now white paper Technology and Human Disruptors Impacting the Capital Markets This paper reveals how certain technology and human trends are transforming the capital market ecosystem. Read white paper webinar Derivative Insider Webinar Series: Cautionary Insights on Software Development In this webinar we discuss some troubling trends observed in software development, and how firms can address them before they cause serious problems. One topic in particular – development of proprietary systems using open-source code – h Register Now article A Few Insights into Crypto Risk In this article, Numerix’s Satyam Kancharla, makes a number of key points about risks in the crypto market. Read article webinar The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives In this Risk.net webinar a panel of industry experts discuss the key issues and challenges market participants face regarding the volatility, valuation, pricing, liquidity and hedging of non-linear derivatives such as options, caps and floors. Register Now webinar LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help Find out how new Risk Free Rates (RFRs) have been adopted in derivatives markets around the globe, and learn how Numerix analytics can help firms price new RFR products, construct RFR curves, and build volatility surfaces. Register Now white paper The State of XVA Usage in Latin America – A 2022 Update This is an update to a paper we published in August of 2020 on the state of XVA usage in Latin America, which included observations on implementation trends among different countries, types of valuation adjustments used, and the challenges and obstacles to XVA adoption in the region. Read white paper white paper Decrypting Crypto: Explaining the Market and Understanding the Requirements for Successful Institutional Participation This white paper takes an institutional perspective in examining the multiple dynamics of the cryptocurrency sector Read white paper Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded article Where are you in your SEC Rule 18f-4 implementation? Attention all ETF and Fund companies. The SEC is adopting a modern regulatory framework for derivatives use which has a compliance deadline of August 19, 2022. Read article article Archegos Collapse Raises Red Flags About Risk Management Systems—and Underscores Need for Investment in Technology In this article, the Numerix Risk Team reveals how the Archegos debacle exposed cracks in banks’ risk systems. Read article white paper The XVA Challenges Energy Traders Face in a Complicated and Volatile Market Learn about some of the challenges energy traders face when seeking to apply XVAs to their derivatives transactions. Read white paper webinar Navigating SEC Rule 18f-4: Enhancing Derivatives Risk Management Programs Watch this webinar to gain a clear perspective on what actions must be take now to comply with the new regulation and gain an enhanced risk management approach for your derivatives operations. Register Now article Innovation Through Fintech Partnership: Numerix + CubeLogic Discover how the accelerating pace of technology innovation Is spawning breakthroughs in capital markets solutions. Read article white paper New QuantTech Platforms Paving Way for More Effective Trading Operations QuantTech is comprised of comprehensive development platforms, rich data management capabilities and streaming real-time analytics for creating, testing and deploying innovative ideas. Read white paper webinar To Cloud or Not to Cloud: Shifting Attitudes Around Cloud Adoption Paul Sinthunont, Strategic Advisor at Aite-Novarica Group unveil key findings from one-on-one interviews with key stakeholders across the financial services sector uncovering what’s driving—or holding back—cloud migration decisions for trading and risk management functions. Register Now webinar Estimating Cross-Model Correlations for CCR & XVA In this webinar, Numerix’s Andrew McClelland, SVP of Quantitative Research, shares detailed insights on Estimating Cross-Model Correlations for CCR & XVA. Register Now article Digitalization and New Tech Bring Opportunity and Changing Approaches to Derivatives Markets In this article Numerix technologist, Linus Yu, joins Heads of Collateral and Liquidity Management, Treasury and Market Risk at some of the world’s leading banks to discuss where they see the path forward for building a more impactful future-state infrastructure for a derivatives business. Read article Pagination First page « First Previous page Previous … Page 9 Page 10 Page 11 Page 12 Current page 13 Page 14 Page 15 Page 16 Page 17 … Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform Content type All Publications Analyst report Article Blog post Journal issue Newsletter Quantitative research White paper journal issue Numerix Journal Vol. 2, No. 1 In the Vol. 2 No. 1 Issue of the Numerix Journal, we propose an approach to dealing with negative rates in the SABR model, explore martingale and distribution tests for the LMM, "Hot-Start" Initialization of the Heston model, and the implementation of real-world and negative rates features in Numerix solutions. Read journal issue quantitative research Advanced Analytics for the SABR Model In this paper, authors Alexander Antonov, PhD, and Michael Spector, PhD, present advanced analytical formulas for SABR model option pricing. Read quantitative research quantitative research Backward Induction for Future Values 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. Read quantitative research white paper Real-World Equity & Volatility Behavior Credit support annexes specify rules for posting collateral. In this paper, Drs. Alexander Antonov and Vladimir Piterbarg propose advanced approaches for valuing the optionality of currency choice in multi-currency CSAs. Read white paper journal issue 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. Read journal issue quantitative research 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. Read quantitative research quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research white paper 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. Read white paper journal issue 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. Read journal issue Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded white paper 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. Read white paper quantitative research 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. Read quantitative research white paper 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. Read white paper quantitative research 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. Read quantitative research white paper 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. Read white paper quantitative research 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’. Read quantitative research white paper 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. Read white paper white paper 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). Read white paper quantitative research 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. Read quantitative research Pagination First page « First Previous page Previous … Page 7 Page 8 Page 9 Page 10 Page 11 Page 12 Current page 13 Page 14 Page 15 Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. Pagination First page « First Previous page Previous Page 1 Page 2 Page 3 Page 4 Page 5 Page 6 Page 7 Current page 8 Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. Pagination First page « First Previous page Previous Page 1 Current page 2 Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found.
video Numerix: Pushing Boundaries to Create Breakthrough Technology Learn why Numerix is the leading provider of capital markets technology Watch video
webinar Build Capital Market Apps Faster with NxCore Cloud Find out how NxCore - the next-generation development platform creates value for development teams – and their end-users. Register Now
white paper Technology and Human Disruptors Impacting the Capital Markets This paper reveals how certain technology and human trends are transforming the capital market ecosystem. Read white paper
webinar Derivative Insider Webinar Series: Cautionary Insights on Software Development In this webinar we discuss some troubling trends observed in software development, and how firms can address them before they cause serious problems. One topic in particular – development of proprietary systems using open-source code – h Register Now
article A Few Insights into Crypto Risk In this article, Numerix’s Satyam Kancharla, makes a number of key points about risks in the crypto market. Read article
webinar The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives In this Risk.net webinar a panel of industry experts discuss the key issues and challenges market participants face regarding the volatility, valuation, pricing, liquidity and hedging of non-linear derivatives such as options, caps and floors. Register Now
webinar LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help Find out how new Risk Free Rates (RFRs) have been adopted in derivatives markets around the globe, and learn how Numerix analytics can help firms price new RFR products, construct RFR curves, and build volatility surfaces. Register Now
white paper The State of XVA Usage in Latin America – A 2022 Update This is an update to a paper we published in August of 2020 on the state of XVA usage in Latin America, which included observations on implementation trends among different countries, types of valuation adjustments used, and the challenges and obstacles to XVA adoption in the region. Read white paper
white paper Decrypting Crypto: Explaining the Market and Understanding the Requirements for Successful Institutional Participation This white paper takes an institutional perspective in examining the multiple dynamics of the cryptocurrency sector Read white paper
article Where are you in your SEC Rule 18f-4 implementation? Attention all ETF and Fund companies. The SEC is adopting a modern regulatory framework for derivatives use which has a compliance deadline of August 19, 2022. Read article
article Archegos Collapse Raises Red Flags About Risk Management Systems—and Underscores Need for Investment in Technology In this article, the Numerix Risk Team reveals how the Archegos debacle exposed cracks in banks’ risk systems. Read article
white paper The XVA Challenges Energy Traders Face in a Complicated and Volatile Market Learn about some of the challenges energy traders face when seeking to apply XVAs to their derivatives transactions. Read white paper
webinar Navigating SEC Rule 18f-4: Enhancing Derivatives Risk Management Programs Watch this webinar to gain a clear perspective on what actions must be take now to comply with the new regulation and gain an enhanced risk management approach for your derivatives operations. Register Now
article Innovation Through Fintech Partnership: Numerix + CubeLogic Discover how the accelerating pace of technology innovation Is spawning breakthroughs in capital markets solutions. Read article
white paper New QuantTech Platforms Paving Way for More Effective Trading Operations QuantTech is comprised of comprehensive development platforms, rich data management capabilities and streaming real-time analytics for creating, testing and deploying innovative ideas. Read white paper
webinar To Cloud or Not to Cloud: Shifting Attitudes Around Cloud Adoption Paul Sinthunont, Strategic Advisor at Aite-Novarica Group unveil key findings from one-on-one interviews with key stakeholders across the financial services sector uncovering what’s driving—or holding back—cloud migration decisions for trading and risk management functions. Register Now
webinar Estimating Cross-Model Correlations for CCR & XVA In this webinar, Numerix’s Andrew McClelland, SVP of Quantitative Research, shares detailed insights on Estimating Cross-Model Correlations for CCR & XVA. Register Now
article Digitalization and New Tech Bring Opportunity and Changing Approaches to Derivatives Markets In this article Numerix technologist, Linus Yu, joins Heads of Collateral and Liquidity Management, Treasury and Market Risk at some of the world’s leading banks to discuss where they see the path forward for building a more impactful future-state infrastructure for a derivatives business. Read article
journal issue Numerix Journal Vol. 2, No. 1 In the Vol. 2 No. 1 Issue of the Numerix Journal, we propose an approach to dealing with negative rates in the SABR model, explore martingale and distribution tests for the LMM, "Hot-Start" Initialization of the Heston model, and the implementation of real-world and negative rates features in Numerix solutions. Read journal issue
quantitative research Advanced Analytics for the SABR Model In this paper, authors Alexander Antonov, PhD, and Michael Spector, PhD, present advanced analytical formulas for SABR model option pricing. Read quantitative research
quantitative research Backward Induction for Future Values 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. Read quantitative research
white paper Real-World Equity & Volatility Behavior Credit support annexes specify rules for posting collateral. In this paper, Drs. Alexander Antonov and Vladimir Piterbarg propose advanced approaches for valuing the optionality of currency choice in multi-currency CSAs. Read white paper
journal issue 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. Read journal issue
quantitative research 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. Read quantitative research
quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research
white paper 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. Read white paper
journal issue 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. Read journal issue
white paper 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. Read white paper
quantitative research 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. Read quantitative research
white paper 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. Read white paper
quantitative research 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. Read quantitative research
white paper 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. Read white paper
quantitative research 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’. Read quantitative research
white paper 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. Read white paper
white paper 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). Read white paper
quantitative research 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. Read quantitative research
