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.
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.
Swedbank CrossAsset/Model Validation Case Study
Swedbank selected Numerix CrossAsset for pricing complex structures and model validation. The Numerix CrossAsset analytics platform provides a framework for structuring, pricing and managing complex derivatives and structured products, allowing users to calculate prices and Greeks and perform scenario analysis using real-time data.
pbb Deutsche Pfandbriefbank XVA/CVA Case Study
pbb Deutsche Pfandbriefbank selected Numerix for its firm-wide CVA calculations to assist with regulatory compliance. Chosen for its accurate, near real-time credit risk valuations, Numerix XVA/CVA leverages its industry-leading CrossAsset analytics to deliver a highly flexible, transparent solution for CVA and potential future exposure (PFE).
OTP Bank CrossAsset/Model Validation Case Study
OTP Bank leverages Numerix CrossAsset for model validation, pricing complex derivatives and drilling down to comprehensive pre- and post-trade risk analysis, including Greeks, scenarios and stress testing.
Nested Stochastic Simulations: Bridging Risk & Pricing Models
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.
Kerius Finance CrossAsset Risk Case Study
Kerius Finance integrated Numerix CrossAsset into its proprietary platform for risk analysis, customized reporting and hedge advisory services – including proposals and structuring of hedging, financing and investment strategies.
HDFC Bank Market Risk Case Study
Numerix provided HDFC Bank with the only third-party risk management solution flexible and scalable enough to meet its requirements, combined with a unique level of support provided by its dedicated Numerix Mumbai office.
The Free Boundary SABR: Natural Extension to Negative Rates
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.
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Vega Maps: New Methods for Quantifying Vega Risk of VAs & FIAs
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.
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.
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.
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.