Numerix Counterparty RIsk Research & Insights

On November 2nd, Numerix hosted a complimentary webinar led by Senior Quantitative Analyst, Olga Us, discussing...
You know changes are coming. You know they’re going to be big. What do you do while you wait?
And how do you...

As SIFMA winds down today at the NY Hilton, it’s clear that risk is still at the forefront of everyone’s mind—and...
Yesterday, attendees at the A-Team Insight Exchange 2010 here in New York were witness to a lively and informative...
Following up our post on LIBOR Market Models in Numerix, I thought it would be valuable to show how the...
Continuing our series on the use of advanced models (see The Bates Model), today we address the issue of pricing...
Risk isn’t just about numbers. It’s also about human nature. Financial institutions must have the courage to...
Recently, we added the Bates stochastic volatility jump-diffusion model to the Numerix CrossAsset model library....

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

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

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