analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
Resources Filter by Type All Resources Publications Webinars Case Studies Videos Podcasts Events Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform quantitative research Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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’. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt. Read quantitative research quantitative research Markovian Projection onto a Displaced Diffusion In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes. Read quantitative research quantitative research Markovian Projection Onto a Heston Model In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process. Read quantitative research Pagination First page « First Previous page Previous Page 1 Current page 2 Page 3 Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform Content type All Publications Analyst report Article Blog post Journal issue Newsletter Quantitative research White paper quantitative research Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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’. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research 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. Read quantitative research quantitative research Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt. Read quantitative research quantitative research Markovian Projection onto a Displaced Diffusion In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes. Read quantitative research quantitative research Markovian Projection Onto a Heston Model In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process. Read quantitative research Pagination First page « First Previous page Previous Page 1 Current page 2 Page 3 Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform webinar Monetary Policy Shifts: Gaining Market Visibility and Managing Risks In this video, Peter O’Connor from Numerix will perform a demo of FINCAD Analytics Suite from Numerix to showcase how this powerful, yet user-friendly derivatives analytics library can help users gain accurate market insights and identify new opportunities in today's dynamic market environment. Register Now webinar Equity Volatility Surface Generation Join Dr. Ping Sun of Numerix as he covers key aspects of equity volatility surface generation and delves into practical issues and considerations. Register Now webinar FX Accumulators: Payoffs, Pricing, & Risk Management using CrossAsset Learn more about FX Accumulators, including their payoffs, usage, pricing considerations, risks, and how Numerix CrossAsset can enhance Accumulator trading. Register Now webinar Valuing Insurance Liabilities with Embedded Financial Guarantees Learn how Numerix CrossAsset can be used to value insurance products with benefits such as a Guaranteed Minimum Death Benefit (GMDB). Register Now webinar Cloud Deployment Strategies for Financial Instrument Pricing & Risk Management Learn how leading financial institutions leverage Numerix’s cloud technology to solve strategic front and middle office challenges. Register Now webinar Pricing Derivatives without Volatility Data: A Real-Life Emerging Markets Example 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. Register Now webinar Real-time Risk Management in the Age of Dynamic Markets and Data A panel of experts delve into how recent operational overhauls are influencing numerical considerations and strategies for practitioners. Register Now webinar Real-time Risk: How Practical Is It, and Is It Worth Striving For? A panel of experts discuss the ramifications of real-time risk metrics and real-time risk management. Register Now webinar FINCAD Analytics Suite: Hedging FX Exposures with Cross-Currency Basis Swaps Peter O’Connor of Numerix addresses the application of cross-currency basis curves with a focus on pricing, risk, scenarios/stress testing, and FX projection. Register Now Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded webinar Valuation & Hedging of FX Options Join Dr. Ping Sun of Numerix as he provides a primer on the best practices and key issues for practitioners to consider when valuing and hedging FX options. Register Now webinar Impacts of FRTB’s Fragmented Implementation Join Franck Rossi of Numerix as he provides an update on FRTB challenges due to the heterogeneous timelines and rules. Register Now webinar Quants in the Cloud: Timely and Optimized Pricing and Risk Decisioning Discover how to achieve better pricing and risk decisions with high performance calculations, rapid applications building and quantitative sandboxing using NxCore Cloud, a cloud-native development platform. Register Now webinar FINCAD Analytics Suite: Real-Time Pricing & Risk of 0DTE Options Learn about the unique risk characteristics of 0DTE options, and how to use FINCAD Analytics Suite for Excel to accurately price these options and assess the related market risks. Register Now 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 other interest rate-sensitive structured products, highlighting the key risk factors and unique market dynamics that shape them. Register Now webinar FINCAD Analytics Suite: Quantitative Trading Strategies for Corporate Bonds FINCAD Analytics Suite: Quantitative Trading Strategies for Corporate Bonds Register Now webinar Tech Revolution: Equipping Institutions For Risk and Regulatory Challenges In October 2023, Risk.net gathered a panel of experts to discuss the game-changing impact of cloud technology and data analytics, empowering institutions to enhance their calculations and cut operational costs. Register Now webinar FINCAD Analytics Suite: Current Rate Dynamics & RFR Curve-Building Get a first-hand look at FINCAD Analytics Suite for Excel’s powerful curve-building capabilities, enabling firms to easily construct curves for risk-free rates (RFRs) in a fluctuating interest rate environment. Register Now webinar How APAC Banks Can Leverage FRTB-SA for Effective Market Risk Management An overview of FRTB-SA and how banks can use it for market risk management, including day-to-day risk monitoring, drilldown analysis, capital allocation, what-if analysis, and others Register Now Pagination First page « First Previous page Previous Page 1 Current page 2 Page 3 Page 4 Page 5 Page 6 Page 7 Page 8 Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform case study Double No Touch and Other FX Option Strategies for Low Volatility Markets This case study covers various foreign exchange (FX) option strategies that take advantage of low volatility market conditions. Specifically, it explores the risks, benefits and mechanics of traditional strategies, such as straddles and strangles, but also focuses on and examines more advanced FX option strategies, such double no touch (DNT) options, European range bet (ERB) options and DNT options in emerging markets. View case study Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded Pagination First page « First Previous page Previous Page 1 Current page 2 Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform podcast Debunking AI Myths: A Glimpse into Tech’s Future with Don Welch In this episode of the podcast, host Jim Jockle is joined by Don Welch, Vice President for Information Technology and Global University CIO at NYU. Together, they explore they discuss artificial intelligence. Listen to podcast podcast The Intersection of Hedge Funds and Cutting-Edge Tech with Serge Houles In this episode of the podcast, host Jim Jockle is joined bySerge Houles, the CEO of Tidan Capital. Together, they discuss the challenges and opportunities of rapid technological advancements in the financial sector. Listen to podcast podcast Cloud Technology's Role in Modern Banking: An Insider's Perspective In this episode of the podcast, host Jim Jockle is joined by Vishal Dalal, CEO for North America, Europe, and Asia at Pismo. Together, they explore the transformative power of cloud-native banking platforms. Listen to podcast podcast Navigating AI Adoption in Finance with Finpilot In this episode, host Jim Jockle is joined by co-founder and CEO of Finpilot, Lakshay Chauhan. Described as ChatGPT for financial questions, Finpilot uses AI to pull information out of unstructured financial data. Listen to podcast podcast Speeding up Capital Markets Through Quicker Capital Raising In this episode, host Jim Jockle is joined by Rodney Reisdorf, the CEO and Co-Founder of Verivend, dubbed the "Venmo of private capital.” Listen to podcast podcast Navigating the New World of Private Credit Opportunities and Strategies In this episode, host Jim Jockle dives into the transformative impact of technology on the finance sector with Prath Reddy, president at Percent. Listen to podcast podcast Crypto and Capital: The Impact of Blockchain on the Financial Industry In this episode, host Jim Jockle is joined by Igor Telyatnikov, CEO and co-founder of AlphaPoint, to explore blockchain's potentially transformative impact on finance, its role in financial inclusion, and its potential to revolutionize asset tokenization. Listen to podcast podcast The Impact of Low-Code Technology on the Financial Industry In this episode, host Jim Jockle is joined by Brian Sathianathan of Iterate.ai to discuss if low-code technology is well-suited for the financial industry. Listen to podcast podcast Revolutionizing Finance: A Deep Dive into Fintech Innovations In this episode, host Jim Jockle is joined by Alex Yavorsky of Jefferies to dissect the larger picture of how innovative technologies and forward-thinking companies are reshaping financial markets. Listen to podcast Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded podcast Dr. Merav Ozair on if Blockchain could enable Responsible AI In this episode, host Jim Jockle is joined by Dr. Merav Ozair, a global leading expert on emerging technologies, who says the answer to implementing AI responsibly could lie in the use of another popular technology, Blockchain. Listen to podcast podcast Attracting, Retaining and Engaging the Gen Z Workforce In this episode, host Jim Jockle is joined by Bruce Martin, the CEO of Tax Systems, and Keryn Koch, the Chief HR Officer for Numerix, to discuss how to attract and retain the newest addition to the workforce, Gen Z. Listen to podcast podcast AI Regulation and the Finance Industry In this episode, host Jim Jockle is joined by Professor Michael Wellman, one of the most influential voices on AI regulation, to discuss how we can emphasize AI’s compliance with existing laws, understand the implications, all while continuing to promote quick innovation. Listen to podcast podcast Understanding the Quick Rise and Wide Impact of AI and MLs In this episode, host Jim Jockle is joined by AI export, Adam Hyland to discuss the reasons behind the burst in popularity of ChatGPT and what the future might hold for AI and MLs. Listen to podcast podcast Track these Trends: 2024 Market Insights with Coalition Greenwich In this episode, host Jim Jockle and Kevin McPartland of Coalition Greenwich discuss the 2024 global finance landscape ad the trends you need to be tracking. Listen to podcast podcast Technology That is Captivating the Finance Industry with Broadridge In this episode, explore the cutting-edge technologies captivating the finance industry's investments and attention Listen to podcast podcast Decoding Cloud Adoption in Finance with Elle Ellis and Kalyani Koppisetti of AWS The cloud has revolutionized how businesses operate, bringing forth a wave of innovation that has transformed scalability, cost-efficiency, flexibility, and collaboration. Listen to podcast podcast Unraveling the Intricacies of Data and Capital Markets with Scott Fitzpatrick Dive into the intricate world of capital markets data in this episode. Listen to podcast podcast Blockchain's Potential on Capital Markets with Graeme Moore Blockchain is a technology that garners a lot of interest from the finance industry, but could the complex world of asset tokenization transform banking? Listen to podcast Pagination First page « First Previous page Previous Page 1 Current page 2 Page 3 Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found.
quantitative research Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research
quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research
quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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’. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt. Read quantitative research
quantitative research Markovian Projection onto a Displaced Diffusion In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes. Read quantitative research
quantitative research Markovian Projection Onto a Heston Model In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process. Read quantitative research
quantitative research Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research
quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research
quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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’. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research 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. Read quantitative research
quantitative research Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt. Read quantitative research
quantitative research Markovian Projection onto a Displaced Diffusion In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes. Read quantitative research
quantitative research Markovian Projection Onto a Heston Model In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process. Read quantitative research
webinar Monetary Policy Shifts: Gaining Market Visibility and Managing Risks In this video, Peter O’Connor from Numerix will perform a demo of FINCAD Analytics Suite from Numerix to showcase how this powerful, yet user-friendly derivatives analytics library can help users gain accurate market insights and identify new opportunities in today's dynamic market environment. Register Now
webinar Equity Volatility Surface Generation Join Dr. Ping Sun of Numerix as he covers key aspects of equity volatility surface generation and delves into practical issues and considerations. Register Now
webinar FX Accumulators: Payoffs, Pricing, & Risk Management using CrossAsset Learn more about FX Accumulators, including their payoffs, usage, pricing considerations, risks, and how Numerix CrossAsset can enhance Accumulator trading. Register Now
webinar Valuing Insurance Liabilities with Embedded Financial Guarantees Learn how Numerix CrossAsset can be used to value insurance products with benefits such as a Guaranteed Minimum Death Benefit (GMDB). Register Now
webinar Cloud Deployment Strategies for Financial Instrument Pricing & Risk Management Learn how leading financial institutions leverage Numerix’s cloud technology to solve strategic front and middle office challenges. Register Now
webinar Pricing Derivatives without Volatility Data: A Real-Life Emerging Markets Example 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. Register Now
webinar Real-time Risk Management in the Age of Dynamic Markets and Data A panel of experts delve into how recent operational overhauls are influencing numerical considerations and strategies for practitioners. Register Now
webinar Real-time Risk: How Practical Is It, and Is It Worth Striving For? A panel of experts discuss the ramifications of real-time risk metrics and real-time risk management. Register Now
webinar FINCAD Analytics Suite: Hedging FX Exposures with Cross-Currency Basis Swaps Peter O’Connor of Numerix addresses the application of cross-currency basis curves with a focus on pricing, risk, scenarios/stress testing, and FX projection. Register Now
webinar Valuation & Hedging of FX Options Join Dr. Ping Sun of Numerix as he provides a primer on the best practices and key issues for practitioners to consider when valuing and hedging FX options. Register Now
webinar Impacts of FRTB’s Fragmented Implementation Join Franck Rossi of Numerix as he provides an update on FRTB challenges due to the heterogeneous timelines and rules. Register Now
webinar Quants in the Cloud: Timely and Optimized Pricing and Risk Decisioning Discover how to achieve better pricing and risk decisions with high performance calculations, rapid applications building and quantitative sandboxing using NxCore Cloud, a cloud-native development platform. Register Now
webinar FINCAD Analytics Suite: Real-Time Pricing & Risk of 0DTE Options Learn about the unique risk characteristics of 0DTE options, and how to use FINCAD Analytics Suite for Excel to accurately price these options and assess the related market risks. Register Now
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 other interest rate-sensitive structured products, highlighting the key risk factors and unique market dynamics that shape them. Register Now
webinar FINCAD Analytics Suite: Quantitative Trading Strategies for Corporate Bonds FINCAD Analytics Suite: Quantitative Trading Strategies for Corporate Bonds Register Now
webinar Tech Revolution: Equipping Institutions For Risk and Regulatory Challenges In October 2023, Risk.net gathered a panel of experts to discuss the game-changing impact of cloud technology and data analytics, empowering institutions to enhance their calculations and cut operational costs. Register Now
webinar FINCAD Analytics Suite: Current Rate Dynamics & RFR Curve-Building Get a first-hand look at FINCAD Analytics Suite for Excel’s powerful curve-building capabilities, enabling firms to easily construct curves for risk-free rates (RFRs) in a fluctuating interest rate environment. Register Now
webinar How APAC Banks Can Leverage FRTB-SA for Effective Market Risk Management An overview of FRTB-SA and how banks can use it for market risk management, including day-to-day risk monitoring, drilldown analysis, capital allocation, what-if analysis, and others Register Now
case study Double No Touch and Other FX Option Strategies for Low Volatility Markets This case study covers various foreign exchange (FX) option strategies that take advantage of low volatility market conditions. Specifically, it explores the risks, benefits and mechanics of traditional strategies, such as straddles and strangles, but also focuses on and examines more advanced FX option strategies, such double no touch (DNT) options, European range bet (ERB) options and DNT options in emerging markets. View case study
podcast Debunking AI Myths: A Glimpse into Tech’s Future with Don Welch In this episode of the podcast, host Jim Jockle is joined by Don Welch, Vice President for Information Technology and Global University CIO at NYU. Together, they explore they discuss artificial intelligence. Listen to podcast
podcast The Intersection of Hedge Funds and Cutting-Edge Tech with Serge Houles In this episode of the podcast, host Jim Jockle is joined bySerge Houles, the CEO of Tidan Capital. Together, they discuss the challenges and opportunities of rapid technological advancements in the financial sector. Listen to podcast
podcast Cloud Technology's Role in Modern Banking: An Insider's Perspective In this episode of the podcast, host Jim Jockle is joined by Vishal Dalal, CEO for North America, Europe, and Asia at Pismo. Together, they explore the transformative power of cloud-native banking platforms. Listen to podcast
podcast Navigating AI Adoption in Finance with Finpilot In this episode, host Jim Jockle is joined by co-founder and CEO of Finpilot, Lakshay Chauhan. Described as ChatGPT for financial questions, Finpilot uses AI to pull information out of unstructured financial data. Listen to podcast
podcast Speeding up Capital Markets Through Quicker Capital Raising In this episode, host Jim Jockle is joined by Rodney Reisdorf, the CEO and Co-Founder of Verivend, dubbed the "Venmo of private capital.” Listen to podcast
podcast Navigating the New World of Private Credit Opportunities and Strategies In this episode, host Jim Jockle dives into the transformative impact of technology on the finance sector with Prath Reddy, president at Percent. Listen to podcast
podcast Crypto and Capital: The Impact of Blockchain on the Financial Industry In this episode, host Jim Jockle is joined by Igor Telyatnikov, CEO and co-founder of AlphaPoint, to explore blockchain's potentially transformative impact on finance, its role in financial inclusion, and its potential to revolutionize asset tokenization. Listen to podcast
podcast The Impact of Low-Code Technology on the Financial Industry In this episode, host Jim Jockle is joined by Brian Sathianathan of Iterate.ai to discuss if low-code technology is well-suited for the financial industry. Listen to podcast
podcast Revolutionizing Finance: A Deep Dive into Fintech Innovations In this episode, host Jim Jockle is joined by Alex Yavorsky of Jefferies to dissect the larger picture of how innovative technologies and forward-thinking companies are reshaping financial markets. Listen to podcast
podcast Dr. Merav Ozair on if Blockchain could enable Responsible AI In this episode, host Jim Jockle is joined by Dr. Merav Ozair, a global leading expert on emerging technologies, who says the answer to implementing AI responsibly could lie in the use of another popular technology, Blockchain. Listen to podcast
podcast Attracting, Retaining and Engaging the Gen Z Workforce In this episode, host Jim Jockle is joined by Bruce Martin, the CEO of Tax Systems, and Keryn Koch, the Chief HR Officer for Numerix, to discuss how to attract and retain the newest addition to the workforce, Gen Z. Listen to podcast
podcast AI Regulation and the Finance Industry In this episode, host Jim Jockle is joined by Professor Michael Wellman, one of the most influential voices on AI regulation, to discuss how we can emphasize AI’s compliance with existing laws, understand the implications, all while continuing to promote quick innovation. Listen to podcast
podcast Understanding the Quick Rise and Wide Impact of AI and MLs In this episode, host Jim Jockle is joined by AI export, Adam Hyland to discuss the reasons behind the burst in popularity of ChatGPT and what the future might hold for AI and MLs. Listen to podcast
podcast Track these Trends: 2024 Market Insights with Coalition Greenwich In this episode, host Jim Jockle and Kevin McPartland of Coalition Greenwich discuss the 2024 global finance landscape ad the trends you need to be tracking. Listen to podcast
podcast Technology That is Captivating the Finance Industry with Broadridge In this episode, explore the cutting-edge technologies captivating the finance industry's investments and attention Listen to podcast
podcast Decoding Cloud Adoption in Finance with Elle Ellis and Kalyani Koppisetti of AWS The cloud has revolutionized how businesses operate, bringing forth a wave of innovation that has transformed scalability, cost-efficiency, flexibility, and collaboration. Listen to podcast
podcast Unraveling the Intricacies of Data and Capital Markets with Scott Fitzpatrick Dive into the intricate world of capital markets data in this episode. Listen to podcast
podcast Blockchain's Potential on Capital Markets with Graeme Moore Blockchain is a technology that garners a lot of interest from the finance industry, but could the complex world of asset tokenization transform banking? Listen to podcast
