Featured Research

Newsletter Issue – Apr 24, 2024
Thinking Derivatively – April 2024 Newsletter

In this Issue | XVA and the Buy Side, Quants Using Cloud, The Role of AI in Finance.

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White Paper
White paper | Mastering XVA Dynamics from the Buy Side

In a Risk.net webinar sponsored by Numerix, three experts discussed key aspects of XVA from a buy-side standpoint...

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White Paper
White paper | Zero-Day Options: Unique Market Dynamics and Risk Considerations

To explore the pricing and risk nuances of zero-day options, Risk.net held a webinar featuring a panel of...

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Quants in the Cloud: Timely and Optimized Pricing and Risk Decisioning
On-Demand Webinar
On-Demand Solution Webinar | Quants in the Cloud: Timely and Optimized Pricing and Risk Decisioning

NUMERIX ON-DEMAND SOLUTION WEBINAR Quants in the Cloud: Timely and Optimized Pricing and Risk Decisioning...

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White Paper
White paper | Structured Credit: The Outlook for 2024

This paper is derived from a Risk.net webinar sponsored by Numerix, where a panel of industry experts discussed...

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White Paper
White paper | If More Convincing Is Needed, Here Are 4 Essential Reasons to Make More Use of the Cloud

In this paper, Numerix’s Head of Market Risk and Counterparty Credit Risk Analytics, Mayank Nanda, outlines his...

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FINCAD Analytics Suite: Real-Time Pricing & Risk of 0DTE Options
On-Demand Webinar
On-Demand Solution Webinar | FINCAD Analytics Suite: Real-Time Pricing & Risk of 0DTE Options

NUMERIX ON-DEMAND SOLUTION WEBINAR FINCAD Analytics Suite: Real-Time Pricing & Risk of 0DTE Options...

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Journal Issue
Numerix Journal Vol. 9, No. 1

The Vol 9. No. 1 issue of the Numerix Journal presents some of Numerix's recent quantitative research and...

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On-Demand Webinar
Risk.net On-Demand Webinar | Charting the Course for Structured Credit Markets in 2024

In December 2023, Risk.net gathered a panel of experts to provide insights into the structured mortgage sector and...

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Numerix Pricing & Valuation Research & Inisights

White Paper | Portfolio Valuations: The Changing Landscape

Though the credit crisis appears to still be in its infancy, a clear change in the way institutions value and...
OTC Derivatives Valuation: Adoption of Multiple Pricing Curves
The following blog article was guest written by Kevin Samborn, vice president of valuation and risk management...
Advanced Valuation Methodologies for CLOs
The Exploration of Traditional Methods, Contrasted with Advanced Methodologies Based on Monte-Carlo Methods
With...
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....

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