Numerix and CubeLogic | Risk Management Post COVID-19: Lessons Learned So Far
This event provided an overview on how Risk Management has changed in the context of the COVID-19 pandemic.
Structured Notes: Transforming Risk into Opportunities
In this article, Risk.net leads a discussion with industry representatives, to capture what the current market environment means for traders, issuers, risk managers and investors operating in structured products.
The LIBOR Transition: A Risk Management Stress Event
Why should the LIBOR transition be viewed as a major risk management stress event.
Preparándonos para un mundo sin la tasa Libor
Augusto Carvalho, Director Regional de Preventas de Numerix e Igor González, Director de Operaciones de PiP, brindan una actualización profunda del mercado y progreso de esta transición.
Transitioning LIBOR in the Context of COVID-19
As the October 2020 date rapidly approaches for LCH and CME to shift from using OIS to SOFR for discounting of US dollar interest rate derivatives, this panel provides a market update and progress on the LIBOR transition focusing on derivatives market participants.
The Benefits of Python with Numerix CrossAsset: Migrating Excel Use Cases to Python
In this webinar, Brian Boucher, VP Product Management at Numerix, details the advantages of using Python over Excel and explains how Python can help give you an edge in today's markets.
Structured Products: Transforming Risk into Opportunities
This webinar examines the most recent period of extreme volatility the global markets have experienced, in response to acute concerns over the economic impact of Covid-19. Find out what this means for traders, issuers, risk managers and investors as the structured products market reshapes to fit the changing market environment.
The LIBOR Transition: Impact of SOFR Switch on Swaptions
In this webinar Ping Sun, SVP of Financial Engineering at Numerix, will examine the impact of the Fed Funds/SOFR switch on value transfers for swaptions and explore what this could mean for swaption pricing going forward.
LIBOR Risk Q1 2020
In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR.
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The LIBOR Transition: Fallback Curve Analysis
Learn about the latest developments from ISDA’s IBOR fallback consultation and how you can use Numerix CrossAsset to conduct P&L impact analyses on LIBOR fallback curves.
Neural Networks with Asymptotics Control
Artificial Neural Networks (ANNs) have recently been suggested for use in derivatives pricing applications as accurate and fast approximators to various financial models.
Risk.net | LIBOR Countdown: Spotlight on Derivatives
This webinar examined the pros and cons of swaps fallback language, the case for pre-cessation triggers, as well as preparing for SOFR/ESTR discounting.
The Market Impact of SOFR Discounting: What We Know So Far
Numerix Senior Vice President, Financial Engineering; Ping Sun, shares The Market Impact of SOFR Discounting: What We Know So Far
The Capital Markets 2020: In the Eye of Two Storms
In this white paper, Numerix Chief Strategy Officer and EVP of Client Services, Satyam Kancharla, provides his view on the drivers of change and their implications for the current and future state of the capital markets.
LIBOR Transition in 2020: Discussion with Numerix & Greenwich Associates
As the industry moves closer to LIBOR’s planned 2021 transition, in this video roundtable discussion Ping Sun, SVP of the LIBOR Transition for Numerix and Kevin McPartland, MD for Greenwich Associates discuss their top LIBOR transition concerns going into 2020.
Trading, Technology and the LIBOR Transition
Discover the driving forces behind the LIBOR transition in this new ebook prepared by Greenwich Associates.
Analyzing the Market Impact of SOFR Discounting
In this white paper, Ping Sun, Senior Vice President, Financial Engineering, explains the differences between OIS curves and SOFR curves, and the impact of SOFR discounting on future cashflow.
Numerix Journal Vol. 6 No. 1
The Vol 6. No. 1 Issue of the Numerix Journal highlights Numerix's achievements in two areas: the ongoing quantitative research and development which extends the functionality of our products, and the innovative Python-based approach to CrossAsset templates. The issue presents papers on the following topics: multi-curve modeling for tenor basis spreads, a new arbitrage-free parametric volatility surface, and STIRs and OIS futures in the Hull-White model. This journal concludes with an article on next generation python-based templates, and introduces the concept of a CrossAsset worker process.
Funding Value Adjustment for General Financial Instruments: Theory and Practice
This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level.
Mastering Model Risk: Assessment, Regulation and Best Practices
In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk.
SABR Spreads Its Wings
Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’.
Considering Stochastic Mortality in Pricing Variable Annuities: Applications of the Lee Carter Model
This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities.
Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice
In this white paper, Numerix VP and Insurance Product Manager Ghali Boukfaoui, explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG).
USLV: Unspanned Stochastic Local Volatility Model
In this article, we propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives.
Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization
In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps.
Advanced FX Hedging Strategies (and what NOT to do): A Case Study
Learn advanced FX hedging strategies and what is most effective.
Algorithmic Exposure and CVA for Exotic Derivatives
In this article, we develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments.
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Capturing Stochastic Volatility: Key to Trading Inflation Derivatives
Modeling the smile and capturing the stochastic nature of volatility has become critically important for inflation derivatives trading.
Analytical Approximations for Short Rate Models
In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models.
Bates Model and Cliquet Pricing in Numerix
Bates stochastic volatility jump-diffusion model is the market standard model for pricing exotic options that depend heavily on the forward skew, such as cliquets and other forward-starting trades.
Generalized Vanna-Volga Method and Its Applications
In this article, we give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in application to pricing of contracts with European exercise on a single underlying.
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 an underlying close to log-normal.
Dynamic Model for Pricing and Hedging Heterogenous CDOs
In this article, we present a simple bottom-up dynamic credit model that can be calibrated simultaneously to the market quotes on CDO tranches and individual CDSs constituting the credit portfolio.
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 swap (CMS) products, such as CMS swaps, CMS caps/floors, and CMS spread options, for the LIBOR Market Model (LMM) with stochastic volatility.
Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption
In this article, we develop a technique of parameter averaging and Markovian projection on a quadratic volatility model based on a term-by-term matching of the asymptotic expansions of option prices in volatilities.
Markovian Projection to a Displaced Volatility Heston Model
In this article, we generalize the results of Markovian Projection onto a Heston model to a wider class of approximating models, a Heston model with displaced volatility.