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-level articles on models as well, one providing an overview of the family of models at Numerix and another focusing on Numerix’s universal hybrid framework. We’ve also included a paper on XVA Greeks, discussing the use of pathwise derivatives of the underlying cash flows for calculation and the ability to use algorithmic differentiation to compute pathwise derivatives efficiently. Finally, the issue looks at the power of Numerix analytics in Oneview Asset Management (OVAM), a new product launched last year.

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

Editor's Note

 


PAPERS

Pathwise XVA Greeks for Early-Exercise Products

Discrete Local Volatility Model

Quasi-Gaussian Local Volatility (QGLV) Model

 


Featured Articles on Numerix Products and Services

The Growing Family of Models at Numerix: A Few Highlights

Numerix's Universal Hybrid Framework

Leveraging the Power of Numerix Analytics in Oneview Asset Management

 

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