The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on quantitative finance and financial software. The goal of the Journal is to serve as a forum for the introduction of new research, modeling methodologies, and presentation of performance and benchmark studies. Journal issues are available to Numerix Clients and qualified market practitioners.

Oct 19, 2021
The Vol 7. No. 1 issue of the Numerix Journal represents some of Numerix's quantitative research and development achievements lately. Many of these achievements have been implemented as functionalities in our products. With the ongoing R&D...
Journal Issue
Dec 17, 2019
The Vol 6. No. 1 Issue of the Numerix Journal highlights Numerix's achievements in two areas: the ongoing quantitative research and development which extends the functionality of our products, and the innovative Python-based approach to CrossAsset...
Journal Issue
Dec 11, 2018
The Vol 5. No. 2 Issue of the Numerix Journal spotlights theoretical aspects of current and upcoming Numerix features. It begins with a discussion of MVA and Initial Margin requirements, and next looks at the Numerix implementation of the FX Joint...
Journal Issue
Jun 19, 2018
The Vol 5. No. 1 Issue of the Numerix Journal, focuses on Numerix’s offerings of models, beginning with papers discussing Discrete Local Volatility (DLV) and Quasi-Gaussian Local Volatility (QGLV/Cheyette) models. The issue introduces two higher-...
Journal Issue
Nov 10, 2017
The Vol 4. No. 2 Issue of the Numerix Journal, presents a collection of the latest Numerix research across several areas. It begins with our latest work on SABR and later features a second article that puts Numerix contributions to SABR into context...
Journal Issue
Jul 18, 2017
The Vol 4. No. 1 Issue of the Numerix Journal, focuses on FRTB (the Fundamental Review of the Trading Book). In this issue, we include four Fundamental Review of the Trading Book papers, each exploring a different aspect of FRTB. The papers selected...
Journal Issue
Dec 8, 2016
In the Vol 3 No 2 Issue of the Numerix Journal, we explore curves and curve construction. Interest rate curves play an integral role in finance, where they are used in key functions such as pricing, risk analysis, portfolio allocation, and...
Journal Issue
Jul 31, 2016
In Vol 3 No 1 Issue of the Numerix Journal, we explore the economic rationale and numerical methods used to address the KVA problem. We also discuss the techniques used by Numerix to calibrate a number of FX and interest rate models under the real-...
Journal Issue
Numerix Journal Vol. 2, No. 2
Dec 2, 2015

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...
Journal Issue
May 22, 2015
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...
Journal Issue

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