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.                    

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.


TABLE OF CONTENTS

NOTE

Foreword from our CEO

ARTICLES

Dilemmas in the Multiple-Curve Approach

Funding Valuation Adjustment for General

Financial Instruments: Theory and Practice

Primer: Curve Stripping with Full Collateralization

American Monte Carlo: Simulation Technology for Accuracy and Performance

Numerix Model Validation Testing

CrossAsset Server Product Review
 

Request This Issue

Complete the form below to request this complimentary issue of the Numerix Journal.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
white paper

White paper | Risk.net: Next-generation technologies and the future of trading

newsletter issue - Sep 15, 2021

Thinking Derivatively – September 2021 Newsletter

on-demand webinar

On-Demand Webinar | Advances in Counterparty Credit Risk Modelling in Energy Markets

newsletter issue - Aug 11, 2021

Thinking Derivatively – Aug 2021 Newsletter

conference

Risk Australia

newsletter issue - Jul 14, 2021

Thinking Derivatively – July 2021 Newsletter

in the news - Jun 21, 2021

Numerix - Best Sell-Side Analytics Product - Sell Side Technology Awards 2021

white paper

White paper | Real-Time Risk Management in Practice: The Experts’ Views

on-demand webinar - Jun 30, 2021

Numerix On-Demand Webinar | Modelling Energy Curves for XVA

newsletter issue - Jun 9, 2021

Thinking Derivatively – June 2021 Newsletter

white paper

White paper | The New Rules of Market Risk Management

on-demand webinar - Jun 24, 2021

Risk.net On-Demand Webinar - Next generation technologies and the future of trading