Numerix Counterparty RIsk Research & Insights

Apr 27, 2010
Yesterday, attendees at the A-Team Insight Exchange 2010 here in New York were witness to a lively and informative...
Apr 14, 2010
Following up our post on LIBOR Market Models in Numerix, I thought it would be valuable to show how the...
Apr 13, 2010
Continuing our series on the use of advanced models (see The Bates Model), today we address the issue of pricing...
Apr 5, 2010
Risk isn’t just about numbers. It’s also about human nature. Financial institutions must have the courage to...
Mar 8, 2010
Recently, we added the Bates stochastic volatility jump-diffusion model to the Numerix CrossAsset model library....
Jun 25, 2009

In this article,we introduce a method for volatility computation from listed prices of American options on a un-...
Jan 1, 2009

In this paper, we develop a series of approximations for a fast analytical pricing of European constant maturity...

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