Neural Networks with Asymptotics Control
In this webinar you will learn more about some of the advantages and use cases for applying machine learning, deep learning, and neural networks in mathematical finance.
Risk Magazine Cutting Edge Article | Machine Learning: Deep Asymptotics
In this research, Drs. Alexandre Antonov, Michael Konikov and Vladimir Piterbarg overcome limitations and develop a new type of neural network that incorporates large-value asymptotics, allowing explicit control over extrapolation.
Risk Magazine Cutting Edge Article | Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
This article presents a general multi-curve Cheyette-style model that allows precise control over tenor basis spreads.
Risk.net | LIBOR Telethon: Derivatives, Trading and Liquidity
In December, Risk.net hosted a LIBOR Telethon where they sourced dozens of pressing questions from the Risk.net audience and hosted a live Q&A session with a panel of industry experts.
The Impact of New Alternative Reference Rates on Curve Instruments and Curve Modelling
In November 2020 Numerix had the privilege of participating in Asia Risk Congress, Asia's leading risk management, derivatives and regulation event. At that event, Thomas Chan, Director, Financial Engineering for Numerix based in Hong Kong presented on-camera an in-depth presentation exploring the LIBOR Transition. With LIBOR cessation on track for a December 2021 end, the goal of this presentation is to bring the Asian markets up to speed on transition progress.
Adapting Market Risk Management Practices Amidst COVID-19
Learn what questions banking and capital markets risk managers should be asking themselves right now in terms of stress testing, scenario analysis and market risk practices in the wake of COVID.
The State of Capital Markets Post COVID-19: Major Paradigm Shifts
In this webinar, get a better understanding of the trends and challenges borne by market participants in both the front and middle office as a result of disruptions caused by the unprecedented COVID-19 pandemic.
Transición a SOFR y su impacto en el mercado colombiano
Augusto Carvalho, Director Regional de Preventas de Numerix, Andrés Galindo, Director de PiP Colombia, Laura Carolina Cardona, Estructuradora de productos derivados y divisas, y líder del frente de derivados en el proyecto de cambio LIBOR del Grupo Bancolombia quienes brindarán una actualización profunda del mercado global y colombiano respecto al progreso de esta transición.
Aite Impact Report
A new report produced by the Aite Group, commissioned by Numerix, assesses the overall impact of an unprecedented pandemic on the securities industry, with particular focus around front-office dynamics, risk management, and the regulatory front.
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How the Complexity of Today’s Business Reality May Demand a Cloud Services Approach
In this white paper, read how valuable harnessing the cloud through Software as a Service (SaaS) and Risk as a Service (RaaS) models can be for helping to manage the increasing complexities of running a derivatives trading business.
Transición a SOFR y su impacto en el mercado peruano
Augusto Carvalho, Director Regional de Preventas de Numerix, Paul Rebolledo, CFA, Gerente de Valuación de PiP Perú, Marco Remy, Gerente de Ingeniería Financiera de Riesgo de Mercado, BCP y Credicorp y Werner Haeberle, Director de Riesgos Estructurales, de Mercado y Fiduciario en BBVA Perú brindarán una actualización profunda del mercado global y peruano respecto al progreso de esta transición.
LIBOR Risk Q3 2020
In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR.
The Tipping Point of Cloud and Risk Management in Capital Markets
Capital markets firms are acknowledging that the cloud is a catalyst for establishing competitive advantage and the financial services sector has been taking steps to prioritize digital transformation. To meet customer requirements and remain competitive, financial services organizations must increase their agility, reduce time to market for new products and services, and address the spiraling total cost of ownership (TCO) of their IT infrastructures. Today, it is evident that all roads lead to the cloud.
LIBOR Transition Readiness: The Current Narrative
Results of a Numerix Global Survey on the LIBOR Transition
Risk.net | LIBOR Transition in Asia-Pacific: How to Stay Ahead of the Curve
This webinar will examine how financial institutions can be forward looking and robustly advancing towards the adoption of new alternative rates in Asia.
Risk Magazine Cutting Edge Article | A new arbitrage-free parametric volatility surface
In this Cutting Edge research article, published in the September 2018 Issue of Risk Magazine, Drs Alexandre Antonov, Andrew McClelland and Serguei Issakov discuss how algorithmic differentiation can efficiently compute sensitivites of future trade values.
The Current State of XVA Usage in Latin America
In this whitepaper, Augusto Carvalho, Numerix’s Regional Director of Presales, who spends a lot of time in Latin America educating banks and other institutions about XVA solutions, provides his observations on XVA practices in the region.
The End of LIBOR Is Getting Dangerously Close: Engage and Succeed with the Numerix LIBOR MasterClass Series
In this blog, Numerix Executive Vice President and Chief Marketing Officer; James Jockle, shares how you can engage and succeed with content collections by Numerix based on the level of your firm’s LIBOR transition readiness.
Numerix Journal Vol. 2, No. 2
In light of the continuously increasing demand for more efficient and sophisticated risk solutions, Vol 2 No 2 of the Numerix Journal is a Special Edition dedicated to risk. The issue showcases the most recent research and developments in risk at Numerix, much of which pertains to real-world modeling
Risk Magazine Cutting Edge Research 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.
"Hot-start" Initialization of the Heston Model
The most straightforward way of initializing a hidden variable is by specifying its equilibrium distribution, which assumes that this component of the multifactor process has been started well before the observable part. As a practical example, the Heston model is considered.
Risk Magazine Cutting Edge Research Article | The Free Boundary SABR: Natural Extension to Negative Rates
In this Cutting Edge article published in the September 2015 Issue of Risk Magazine, Alexandre Antonov, Michael Konikov, and Michael Spector have presented a natural generalization of the SABR model to negative rates.
Research In Brief | Negative Rates: The Challenge and the Opportunity
Dr. Ion Mihai, explores how negative interest rates have recently become a critically important issue in finance.
Bringing Real-time Risk into the Decision-making Process
Satyam Kancharla discusses how and why using integrated analysis tools with drill down and real-time capabilities is essential for effective decision-making.
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.
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.
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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.
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.
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.
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.
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.