More Numerix Quantitative Research

Apr 12, 2012
Download this Complimentary Numerix Quantitative Research Paper
In this article, we develop the algorithmic...
Mar 23, 2012


In this paper, authors Alexander Antonov, PhD, and Michael Spector, PhD, present advanced analytical...
May 1, 2010

In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general...
Jun 25, 2009

In this article,we introduce a method for volatility computation from listed prices of American options on a un-...
Jun 25, 2009

In this article, we give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in...
May 6, 2009

In this article, we present a simple bottom-up dynamic credit model that can be calibrated simultaneously to the...
Jan 1, 2009

In this paper, we develop a series of approximations for a fast analytical pricing of European constant maturity...
Jun 16, 2008


In this article, we develop a technique of parameter averaging and Markovian projection on a quadratic...
Mar 12, 2008


Markovian Projection is an optimal approximation of a complex underlying process with a simpler one,...
Aug 29, 2007


In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model...

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