Featured Research

White Paper
White paper | Six Themes that Characterize Trading in the Energy Markets Today

This paper explores certain trends and themes tied to today’s energy markets

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Newsletter Issue – Mar 13, 2023
Thinking Derivatively – March 2023 Newsletter

In this Issue | Energy Trading Themes, Numerix Case Study on Enhancing Risk Analytics, Technology Insights

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On-Demand Webinar
Risk.net On-Demand Webinar | XVAs and Counterparty Credit Risk for an Energy Market in Crisis

In November 2022, Risk.net hosted a panel discussion with five industry experts where they discussed the...

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Newsletter Issue – Jan 17, 2023
Thinking Derivatively – January 2023 Newsletter

In this Issue | Leveraging Emerging Tech, Applying XVAs in Energy Markets, Turbocharging Greek Calculations

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White Paper
White paper | Using Emerging Technologies to Improve the Risk Management Function

In this white paper, Numerix expert shares the technology themes and insights discussed by a keynote panel of risk...

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Journal Issue
Numerix Journal Vol. 8, No. 1

The Vol 8. No. 1 issue of the Numerix Journal presents some of Numerix's recent quantitative research and...

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Newsletter Issue – Dec 13, 2022
Thinking Derivatively – December 2022 Newsletter

In this Issue | LIBOR Transition Challenges, Building Apps, Using Asset Projection Tools

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Machine Learning for Market Data Anomaly Detection & Gap Filling
On-Demand Webinar
Machine Learning for Market Data Anomaly Detection & Gap Filling

Presenters share how Machine Learning can be utilized to improve the quality of historical data for market risk...

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White Paper
White paper | The LIBOR Transition Story Is Not Yet Over: Our Experts Reflect on 5 of the Remaining Core Issues...

In this white paper, two Numerix experts share what they believe are some of the most significant themes and...

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Numerix Pricing & Valuation Research & Inisights

What’s Behind the U.S. Structured Products Industry’s $50 Billion Record Year?
Written By Guest Blogger, Keith Styrcula--Chairman, Structured Products Association
By all measures, the...
In-database Analytics – A path to the future?
Held in New York City on November 2nd and 3rd, the 16th annual flagship conference—Risk USA 2010—provided up-to-...
FX-Fixed Income Hybrids: Practical Pricing Issues
On November 2nd, Numerix hosted a complimentary webinar led by Senior Quantitative Analyst, Olga Us, discussing...
Pricing and Hedging Overnight Index Swaps: Two Possible Approaches

The following article is based on a webinar presented on September 22, 2010, by Jon Zucker, Ph.D. – VP Client...
Comparing Market Model Accuracy to the Volatility Smile
Following up our post on LIBOR Market Models in Numerix, I thought it would be valuable to show how the...
LIBOR Market Models for Smile-Dependent Exotics
Continuing our series on the use of advanced models (see The Bates Model), today we address the issue of pricing...
Bates Model and Cliquet Pricing in Numerix
Recently, we added the Bates stochastic volatility jump-diffusion model to the Numerix CrossAsset model library....
Buy-Side Technology Sees Numerix as Best Pricing/Valuation Service


Transparency is on everyone’s minds these days, particularly for complex derivatives. At Numerix, we work with a...
Quantitative Research Paper | Decoupled American Option Pricing Method: Computation of Implied Volatilities and Further Applications

In this article,we introduce a method for volatility computation from listed prices of American options on a un-...
Quantitative Research Paper | Analytical Formulas for Pricing CMS Products in the LMM with Stochastic Volatility

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

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