white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
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 webinar Next generation technologies and the future of trading In this webinar, Numerix and Risk.net panelists examine the future of trading technology, how companies will implement these new innovations, and explore the range of new skills that might be needed. Register Now white paper The Art of Effective Market Risk Management During a Period of Transformation White paper | The Art of Effective Market Risk Management During a Period of Transformation Read white paper webinar SRP Europe Conference 2021: Optimizing Financial Valuations to Improve Investor Experience During SRP’s 18th annual flagship conference, SRP Europe 2021, thought leaders from across the European market came together to examine, discuss and debate the state of Europe’s structured products industry. Register Now webinar QuantMinds 2020: Modelling Energy Curves for XVA This on-demand webinar offers insights and commentary across several areas including: Seasonality in volatilities & correlations for energy curves; oil, gas, power, etc. | XVA & the importance of correlations | The Andersen ('10) model, akin to Cheyette ('92) with seasonality in response functions | Estimation via state-space representation and filtering | akin to Dynamic Nelson-Siegel (’06) | Objective measure-vs.-pricing measure implications and handling stochastic volatility. Register Now white paper Examining What's Next for LIBOR: Top Themes Dominating the Transition in 2021 In this new whitepaper, Numerix LIBOR transition expert Liang Wu provides his views and insights on the key themes that deserve examination. Read white paper webinar Risk.net | Modifying Market Risk Management – A Year After Covid-19 Join this panel discussion with Numerix and Risk.net to understand how capital markets participants revised their market risk management practices during the height of market volatility and what this means for the future. Register Now webinar Adopting a Cloud-Based Risk Management Strategy In this webinar, held in partnership with Microsoft, you will learn more about the value running real-time pricing and risk management calculations in the cloud can create for financial services firms Register Now webinar Real-Time Risk Management at the Enterprise Level: Uses and Benefits for Risk Managers In this webinar hosted by CubeLogic, in partnership with Numerix, IOWArocks and PRMIA, market experts come together to examine the role real-time enterprise risk measurement and reporting has to play in practice today. Register Now webinar Quantitative R&D Innovations Update In this new research quantitative experts overcome this significant limitation and develop a new type of neural networks that incorporate large-value asymptotics, when known, allowing explicit control over extrapolation. Register Now Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded webinar Neural Networks with Asymptotics Control In this webinar you will learn more about some of the advantages and use cases for applying machine learning, deep learning, and neural networks in mathematical finance. Register Now quantitative research Risk Magazine Cutting Edge Article | Machine Learning: Deep Asymptotics In this research, Drs. Alexandre Antonov, Michael Konikov and Vladimir Piterbarg overcome limitations and develop a new type of neural network that incorporates large-value asymptotics, allowing explicit control over extrapolation. Read quantitative research quantitative research Risk Magazine Cutting Edge Article | Multi-curve Cheyette-style models with lower bounds on tenor basis spreads This article presents a general multi-curve Cheyette-style model that allows precise control over tenor basis spreads. Read quantitative research webinar Risk.net | LIBOR Telethon: Derivatives, Trading and Liquidity In December, Risk.net hosted a LIBOR Telethon where they sourced dozens of pressing questions from the Risk.net audience and hosted a live Q&A session with a panel of industry experts. Register Now webinar The Impact of New Alternative Reference Rates on Curve Instruments and Curve Modelling In November 2020 Numerix had the privilege of participating in Asia Risk Congress, Asia's leading risk management, derivatives and regulation event. At that event, Thomas Chan, Director, Financial Engineering for Numerix based in Hong Kong presented on-camera an in-depth presentation exploring the LIBOR Transition. With LIBOR cessation on track for a December 2021 end, the goal of this presentation is to bring the Asian markets up to speed on transition progress. Register Now webinar Adapting Market Risk Management Practices Amidst COVID-19 Learn what questions banking and capital markets risk managers should be asking themselves right now in terms of stress testing, scenario analysis and market risk practices in the wake of COVID. Register Now webinar The State of Capital Markets Post COVID-19: Major Paradigm Shifts In this webinar, get a better understanding of the trends and challenges borne by market participants in both the front and middle office as a result of disruptions caused by the unprecedented COVID-19 pandemic. Register Now webinar Transición a SOFR y su impacto en el mercado colombiano Augusto Carvalho, Director Regional de Preventas de Numerix, Andrés Galindo, Director de PiP Colombia, Laura Carolina Cardona, Estructuradora de productos derivados y divisas, y líder del frente de derivados en el proyecto de cambio LIBOR del Grupo Bancolombia quienes brindarán una actualización profunda del mercado global y colombiano respecto al progreso de esta transición. Register Now analyst report Aite Impact Report A new report produced by the Aite Group, commissioned by Numerix, assesses the overall impact of an unprecedented pandemic on the securities industry, with particular focus around front-office dynamics, risk management, and the regulatory front. Read analyst report Pagination First page « First Previous page Previous … Page 7 Page 8 Page 9 Page 10 Current page 11 Page 12 Page 13 Page 14 Page 15 … 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 white paper Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years. Read white paper journal issue Numerix Journal Vol. 1, No. 1 In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation. Read journal issue white paper Model Risk: The Challenges of Legacy Code and Best Practices In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation. Read white paper 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 white paper The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts. Read white paper 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 white paper 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. Read white paper 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 white paper 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. Read white paper Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded white paper 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). Read white paper 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 blog Advanced FX Hedging Strategies (and what NOT to do): A Case Study Learn advanced FX hedging strategies and what is most effective. Read Blog 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 blog 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. Read Blog 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 blog 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. Read Blog 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 Pagination First page « First Previous page Previous … Page 4 Page 5 Page 6 Page 7 Page 8 Page 9 Page 10 Current page 11 Page 12 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. Pagination First page « First Previous page Previous Page 1 Page 2 Page 3 Page 4 Page 5 Page 6 Current page 7 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 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 No resources found. 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.
webinar Next generation technologies and the future of trading In this webinar, Numerix and Risk.net panelists examine the future of trading technology, how companies will implement these new innovations, and explore the range of new skills that might be needed. Register Now
white paper The Art of Effective Market Risk Management During a Period of Transformation White paper | The Art of Effective Market Risk Management During a Period of Transformation Read white paper
webinar SRP Europe Conference 2021: Optimizing Financial Valuations to Improve Investor Experience During SRP’s 18th annual flagship conference, SRP Europe 2021, thought leaders from across the European market came together to examine, discuss and debate the state of Europe’s structured products industry. Register Now
webinar QuantMinds 2020: Modelling Energy Curves for XVA This on-demand webinar offers insights and commentary across several areas including: Seasonality in volatilities & correlations for energy curves; oil, gas, power, etc. | XVA & the importance of correlations | The Andersen ('10) model, akin to Cheyette ('92) with seasonality in response functions | Estimation via state-space representation and filtering | akin to Dynamic Nelson-Siegel (’06) | Objective measure-vs.-pricing measure implications and handling stochastic volatility. Register Now
white paper Examining What's Next for LIBOR: Top Themes Dominating the Transition in 2021 In this new whitepaper, Numerix LIBOR transition expert Liang Wu provides his views and insights on the key themes that deserve examination. Read white paper
webinar Risk.net | Modifying Market Risk Management – A Year After Covid-19 Join this panel discussion with Numerix and Risk.net to understand how capital markets participants revised their market risk management practices during the height of market volatility and what this means for the future. Register Now
webinar Adopting a Cloud-Based Risk Management Strategy In this webinar, held in partnership with Microsoft, you will learn more about the value running real-time pricing and risk management calculations in the cloud can create for financial services firms Register Now
webinar Real-Time Risk Management at the Enterprise Level: Uses and Benefits for Risk Managers In this webinar hosted by CubeLogic, in partnership with Numerix, IOWArocks and PRMIA, market experts come together to examine the role real-time enterprise risk measurement and reporting has to play in practice today. Register Now
webinar Quantitative R&D Innovations Update In this new research quantitative experts overcome this significant limitation and develop a new type of neural networks that incorporate large-value asymptotics, when known, allowing explicit control over extrapolation. Register Now
webinar Neural Networks with Asymptotics Control In this webinar you will learn more about some of the advantages and use cases for applying machine learning, deep learning, and neural networks in mathematical finance. Register Now
quantitative research Risk Magazine Cutting Edge Article | Machine Learning: Deep Asymptotics In this research, Drs. Alexandre Antonov, Michael Konikov and Vladimir Piterbarg overcome limitations and develop a new type of neural network that incorporates large-value asymptotics, allowing explicit control over extrapolation. Read quantitative research
quantitative research Risk Magazine Cutting Edge Article | Multi-curve Cheyette-style models with lower bounds on tenor basis spreads This article presents a general multi-curve Cheyette-style model that allows precise control over tenor basis spreads. Read quantitative research
webinar Risk.net | LIBOR Telethon: Derivatives, Trading and Liquidity In December, Risk.net hosted a LIBOR Telethon where they sourced dozens of pressing questions from the Risk.net audience and hosted a live Q&A session with a panel of industry experts. Register Now
webinar The Impact of New Alternative Reference Rates on Curve Instruments and Curve Modelling In November 2020 Numerix had the privilege of participating in Asia Risk Congress, Asia's leading risk management, derivatives and regulation event. At that event, Thomas Chan, Director, Financial Engineering for Numerix based in Hong Kong presented on-camera an in-depth presentation exploring the LIBOR Transition. With LIBOR cessation on track for a December 2021 end, the goal of this presentation is to bring the Asian markets up to speed on transition progress. Register Now
webinar Adapting Market Risk Management Practices Amidst COVID-19 Learn what questions banking and capital markets risk managers should be asking themselves right now in terms of stress testing, scenario analysis and market risk practices in the wake of COVID. Register Now
webinar The State of Capital Markets Post COVID-19: Major Paradigm Shifts In this webinar, get a better understanding of the trends and challenges borne by market participants in both the front and middle office as a result of disruptions caused by the unprecedented COVID-19 pandemic. Register Now
webinar Transición a SOFR y su impacto en el mercado colombiano Augusto Carvalho, Director Regional de Preventas de Numerix, Andrés Galindo, Director de PiP Colombia, Laura Carolina Cardona, Estructuradora de productos derivados y divisas, y líder del frente de derivados en el proyecto de cambio LIBOR del Grupo Bancolombia quienes brindarán una actualización profunda del mercado global y colombiano respecto al progreso de esta transición. Register Now
analyst report Aite Impact Report A new report produced by the Aite Group, commissioned by Numerix, assesses the overall impact of an unprecedented pandemic on the securities industry, with particular focus around front-office dynamics, risk management, and the regulatory front. Read analyst report
white paper Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years. Read white paper
journal issue Numerix Journal Vol. 1, No. 1 In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation. Read journal issue
white paper Model Risk: The Challenges of Legacy Code and Best Practices In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation. Read white paper
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
white paper The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts. Read white paper
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
white paper 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. Read white paper
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
white paper 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. Read white paper
white paper 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). Read white paper
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
blog Advanced FX Hedging Strategies (and what NOT to do): A Case Study Learn advanced FX hedging strategies and what is most effective. Read Blog
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
blog 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. Read Blog
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
blog 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. Read Blog
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