Pricing Derivatives without Volatility Data: A Real-Life Emerging Markets Example

Why Attend

Learn how to use advanced quantitative methods to construct a stable volatility surface in illiquid markets, including a live demo showcasing how Numerix CrossAsset can be utilized for this task.



Christopher Liu, PhD, Senior Financial Engineer, Numerix

In financial markets, the ability to accurately assess and navigate volatility is crucial for success. This is especially true in illiquid markets, where price movements can be more abrupt, unpredictable and even unobserved.

When pricing derivatives in emerging markets, the lack of volatility data can cause significant challenges. What are different ways that practitioners can overcome this problem?

Join Dr. Christopher Liu of Numerix as he delves into traditional methods of modeling volatility, as well as approaches that Numerix has integrated into its products, using a case study from the Greater China market.

During this webinar, Chris provides a quantitative perspective on the topic, including a live demonstration using Numerix CrossAsset. He covers:

  • The current state of the Greater China market
  • Traditional approaches to unobserved volatility
  • Brief outline of the methodology used in Numerix software
  • Live demo showcasing how Numerix CrossAsset can be used for this task
  • Potential extensions offered by CrossAsset

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