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 Inside Numerix’s R&D: How & Why We Built a Cloud-Native Compute Engine Discover how Numerix shifted Oneview, its flagship software, to a cloud-native architecture and the benefits this provides to users. Register Now article Lag in the SOFR-Linked Non-Linear Derivatives Market: Three Barriers to Transition This article is derived from a Risk.net webinar sponsored by Numerix, where an industry panel discussed how liquidity has developed in SOFR-linked non-linear products. Read article video Numerix: Pushing Boundaries to Create Breakthrough Technology Learn why Numerix is the leading provider of capital markets technology Watch video webinar Build Capital Market Apps Faster with NxCore Cloud Find out how NxCore - the next-generation development platform creates value for development teams – and their end-users. Register Now white paper Technology and Human Disruptors Impacting the Capital Markets This paper reveals how certain technology and human trends are transforming the capital market ecosystem. Read white paper webinar Derivative Insider Webinar Series: Cautionary Insights on Software Development In this webinar we discuss some troubling trends observed in software development, and how firms can address them before they cause serious problems. One topic in particular – development of proprietary systems using open-source code – h Register Now article A Few Insights into Crypto Risk In this article, Numerix’s Satyam Kancharla, makes a number of key points about risks in the crypto market. Read article webinar The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives In this Risk.net webinar a panel of industry experts discuss the key issues and challenges market participants face regarding the volatility, valuation, pricing, liquidity and hedging of non-linear derivatives such as options, caps and floors. Register Now webinar LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help Find out how new Risk Free Rates (RFRs) have been adopted in derivatives markets around the globe, and learn how Numerix analytics can help firms price new RFR products, construct RFR curves, and build volatility surfaces. Register Now Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded white paper The State of XVA Usage in Latin America – A 2022 Update This is an update to a paper we published in August of 2020 on the state of XVA usage in Latin America, which included observations on implementation trends among different countries, types of valuation adjustments used, and the challenges and obstacles to XVA adoption in the region. Read white paper white paper Decrypting Crypto: Explaining the Market and Understanding the Requirements for Successful Institutional Participation This white paper takes an institutional perspective in examining the multiple dynamics of the cryptocurrency sector Read white paper article Where are you in your SEC Rule 18f-4 implementation? Attention all ETF and Fund companies. The SEC is adopting a modern regulatory framework for derivatives use which has a compliance deadline of August 19, 2022. Read article article Archegos Collapse Raises Red Flags About Risk Management Systems—and Underscores Need for Investment in Technology In this article, the Numerix Risk Team reveals how the Archegos debacle exposed cracks in banks’ risk systems. Read article white paper The XVA Challenges Energy Traders Face in a Complicated and Volatile Market Learn about some of the challenges energy traders face when seeking to apply XVAs to their derivatives transactions. Read white paper webinar Navigating SEC Rule 18f-4: Enhancing Derivatives Risk Management Programs Watch this webinar to gain a clear perspective on what actions must be take now to comply with the new regulation and gain an enhanced risk management approach for your derivatives operations. Register Now article Innovation Through Fintech Partnership: Numerix + CubeLogic Discover how the accelerating pace of technology innovation Is spawning breakthroughs in capital markets solutions. Read article white paper New QuantTech Platforms Paving Way for More Effective Trading Operations QuantTech is comprised of comprehensive development platforms, rich data management capabilities and streaming real-time analytics for creating, testing and deploying innovative ideas. Read white paper webinar To Cloud or Not to Cloud: Shifting Attitudes Around Cloud Adoption Paul Sinthunont, Strategic Advisor at Aite-Novarica Group unveil key findings from one-on-one interviews with key stakeholders across the financial services sector uncovering what’s driving—or holding back—cloud migration decisions for trading and risk management functions. Register Now Pagination First page « First Previous page Previous … Page 4 Page 5 Page 6 Page 7 Current page 8 Page 9 Page 10 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 Content type All Publications Analyst report Article Blog post Journal issue Newsletter Quantitative research White paper analyst report Chartis Spotlight Report: Numerix | Front Office Risk Management Technology 2018 Numerix is proud to be recognized as a leading provider of front office risk management technology (FORM) by Chartis Research, a leading research firm focused on the global market for risk technology. Read analyst report quantitative research Risk Magazine Cutting Edge Research Article | Efficient Simm-MVA calculations for callable exotics In this Cutting Edge research article published in the September 2018 Issue of Risk Magazine, Drs Alexandre Antonov, Andrew McClelland and Serguei Issakov discuss how algorithmic differentiation can efficiently compute sensitivities of future trade values. Read quantitative research white paper Charting a Course for a Successful XVA Program This white paper outlines market perspectives and best practices for navigating through an XVA implementation project. Read white paper analyst report Risk.net XVA Special Report 2018 This Risk.net 2018 XVA Special Report addresses a number of the hot button issues that continue to challenge the OTC derivatives marketplace today, such as the complications of XVA adoption, the impact of regulatory drivers, the complexity of pricing and risk calculations, the radical changes presented by new technologies, and the elusive capturing of profitability. Read analyst report blog XVAs Defined: The Profitability Puzzle Numerix experts break down the growing list of XVA pricing adjustments impacting derivatives, explore how they interact and their relationship to the overall profitability of a derivatives business. Read Blog journal issue Numerix Journal Vol. 5 No. 1 The Vol. 5 No. 1 issue focuses on Numerix’s offerings of models, beginning with papers discussing Discrete Local Volatility (DLV) and Quasi-Gaussian Local Volatility (QGLV/Cheyette) models. The issue introduces two higher-level articles on models as well, one providing an overview of the family of models at Numerix and another focusing on Numerix’s universal hybrid framework. We’ve also included a paper on XVA Greeks, discussing the use of pathwise derivatives of the underlying cash flows for calculation and the ability to use algorithmic differentiation to compute pathwise derivatives efficiently. Finally, the issue looks at the power of Numerix analytics in Oneview Asset Management (OVAM), a new product launched last year. Read journal issue white paper LIBOR Alternative Rates: The Future of OTC Derivatives Pricing and Curve Construction How will LIBOR alternative rates impact derivatives valuations and curve construction going forward? Read white paper blog Putting Quantitative Innovation into Focus for XVAs Managing xVAs is complex, and that complexity is growing as banks extend xVA to reflect new costs, such as those associated with posting initial margin, or to more-accurately reflect the costs of capital utilization. Read Blog white paper MiFID II and Real-Time Technology Fortify Electronic Trading in OTC Markets MiFID and technologies are leading to a rise in electronic trading, this paper explores the impacts for market makers. Read white paper Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded white paper LIBOR: Its Astonishing Ride and How to Plan for Its End Explaination of what's important when preparing for 2021 Read white paper quantitative research Risk Magazine Cutting Edge Research Article | Pathwise XVA Greeks for Early-Exercise Products Using a new Numerix technique, Greeks can be computed almost as quickly as the time it takes to price the derivatives. Read quantitative research blog Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? In this blog, James Jockle, Chief Marketing Officer, shares the insights of a data science visionary, who, through his research and thought-provoking analysis of AI, arrives at an answer to the critical trust question. Read Blog article Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? Artificial intelligence technologies have undergone a rapid evolution in recent years and have sparked significant interest among firms in multiple industries. Read article journal issue Numerix Journal Vol. 4 No. 2 The Vol. 4 No. 2 issue presents a collection of the latest Numerix research across several areas. It begins with our latest work on SABR and later features a second article that puts Numerix contributions to SABR into context. The issue also introduces work on an efficient SIMM-MVA approach for callable exotics, as well as an extension of Carr-Pelts work on volatility surface. Lastly, the issue highlights MasterMind, a powerful module within our Oneview Asset Management solution that offers users real-time portfolio analytics and the ability to customize calculation results. Read journal issue quantitative research Efficient SIMM-MVA Calculations for Callable Exotics This paper introduces a method which avoids nested calls to the pricing function, similar to the use of least-squares Monte Carlo (LSMC) for producing future exposures. Read quantitative research white paper The Rise of xVA and How It Transformed an Entire Industry In this white paper, Satyam Kancharla, Chief Strategy Officer at Numerix, brings to light how xVAs have become the posterchild for risk-informed decision making and the key to unlocking trade profitability across capital markets. Read white paper white paper Finding Flow: The Case for Electronification in OTC Markets, Its Evolution and Its Future in Illiquid Markets The financial services industry has been in a state of rapid flux ever since the first of a series of critical reforms were implemented, namely Dodd-Frank, in 2010, as well as because of the onset of disruptive technologies and new set of competitors emerging from the fintech industry. Read white paper journal issue Numerix Journal Vol. 4 No. 1 *SPECIAL ISSUE- FRTB * The Vol. 4 No. 1 issue focuses on FRTB (the Fundamental Review of the Trading Book). In this issue, we include four Fundamental Review of the Trading Book papers, each exploring a different aspect of FRTB. The papers selected break down the underlying regulatory requirements, explain the implementation challenges, analyze the differences between IMA and SA, and look at the credit valuation adjustment (CVA) and initial margin frameworks. Read journal issue Pagination First page « First Previous page Previous … Page 3 Page 4 Page 5 Page 6 Page 7 Current page 8 Page 9 Page 10 Page 11 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 Inside Numerix’s R&D: How & Why We Built a Cloud-Native Compute Engine Discover how Numerix shifted Oneview, its flagship software, to a cloud-native architecture and the benefits this provides to users. Register Now
article Lag in the SOFR-Linked Non-Linear Derivatives Market: Three Barriers to Transition This article is derived from a Risk.net webinar sponsored by Numerix, where an industry panel discussed how liquidity has developed in SOFR-linked non-linear products. Read article
video Numerix: Pushing Boundaries to Create Breakthrough Technology Learn why Numerix is the leading provider of capital markets technology Watch video
webinar Build Capital Market Apps Faster with NxCore Cloud Find out how NxCore - the next-generation development platform creates value for development teams – and their end-users. Register Now
white paper Technology and Human Disruptors Impacting the Capital Markets This paper reveals how certain technology and human trends are transforming the capital market ecosystem. Read white paper
webinar Derivative Insider Webinar Series: Cautionary Insights on Software Development In this webinar we discuss some troubling trends observed in software development, and how firms can address them before they cause serious problems. One topic in particular – development of proprietary systems using open-source code – h Register Now
article A Few Insights into Crypto Risk In this article, Numerix’s Satyam Kancharla, makes a number of key points about risks in the crypto market. Read article
webinar The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives In this Risk.net webinar a panel of industry experts discuss the key issues and challenges market participants face regarding the volatility, valuation, pricing, liquidity and hedging of non-linear derivatives such as options, caps and floors. Register Now
webinar LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help Find out how new Risk Free Rates (RFRs) have been adopted in derivatives markets around the globe, and learn how Numerix analytics can help firms price new RFR products, construct RFR curves, and build volatility surfaces. Register Now
white paper The State of XVA Usage in Latin America – A 2022 Update This is an update to a paper we published in August of 2020 on the state of XVA usage in Latin America, which included observations on implementation trends among different countries, types of valuation adjustments used, and the challenges and obstacles to XVA adoption in the region. Read white paper
white paper Decrypting Crypto: Explaining the Market and Understanding the Requirements for Successful Institutional Participation This white paper takes an institutional perspective in examining the multiple dynamics of the cryptocurrency sector Read white paper
article Where are you in your SEC Rule 18f-4 implementation? Attention all ETF and Fund companies. The SEC is adopting a modern regulatory framework for derivatives use which has a compliance deadline of August 19, 2022. Read article
article Archegos Collapse Raises Red Flags About Risk Management Systems—and Underscores Need for Investment in Technology In this article, the Numerix Risk Team reveals how the Archegos debacle exposed cracks in banks’ risk systems. Read article
white paper The XVA Challenges Energy Traders Face in a Complicated and Volatile Market Learn about some of the challenges energy traders face when seeking to apply XVAs to their derivatives transactions. Read white paper
webinar Navigating SEC Rule 18f-4: Enhancing Derivatives Risk Management Programs Watch this webinar to gain a clear perspective on what actions must be take now to comply with the new regulation and gain an enhanced risk management approach for your derivatives operations. Register Now
article Innovation Through Fintech Partnership: Numerix + CubeLogic Discover how the accelerating pace of technology innovation Is spawning breakthroughs in capital markets solutions. Read article
white paper New QuantTech Platforms Paving Way for More Effective Trading Operations QuantTech is comprised of comprehensive development platforms, rich data management capabilities and streaming real-time analytics for creating, testing and deploying innovative ideas. Read white paper
webinar To Cloud or Not to Cloud: Shifting Attitudes Around Cloud Adoption Paul Sinthunont, Strategic Advisor at Aite-Novarica Group unveil key findings from one-on-one interviews with key stakeholders across the financial services sector uncovering what’s driving—or holding back—cloud migration decisions for trading and risk management functions. Register Now
analyst report Chartis Spotlight Report: Numerix | Front Office Risk Management Technology 2018 Numerix is proud to be recognized as a leading provider of front office risk management technology (FORM) by Chartis Research, a leading research firm focused on the global market for risk technology. Read analyst report
quantitative research Risk Magazine Cutting Edge Research Article | Efficient Simm-MVA calculations for callable exotics In this Cutting Edge research article published in the September 2018 Issue of Risk Magazine, Drs Alexandre Antonov, Andrew McClelland and Serguei Issakov discuss how algorithmic differentiation can efficiently compute sensitivities of future trade values. Read quantitative research
white paper Charting a Course for a Successful XVA Program This white paper outlines market perspectives and best practices for navigating through an XVA implementation project. Read white paper
analyst report Risk.net XVA Special Report 2018 This Risk.net 2018 XVA Special Report addresses a number of the hot button issues that continue to challenge the OTC derivatives marketplace today, such as the complications of XVA adoption, the impact of regulatory drivers, the complexity of pricing and risk calculations, the radical changes presented by new technologies, and the elusive capturing of profitability. Read analyst report
blog XVAs Defined: The Profitability Puzzle Numerix experts break down the growing list of XVA pricing adjustments impacting derivatives, explore how they interact and their relationship to the overall profitability of a derivatives business. Read Blog
journal issue Numerix Journal Vol. 5 No. 1 The Vol. 5 No. 1 issue focuses on Numerix’s offerings of models, beginning with papers discussing Discrete Local Volatility (DLV) and Quasi-Gaussian Local Volatility (QGLV/Cheyette) models. The issue introduces two higher-level articles on models as well, one providing an overview of the family of models at Numerix and another focusing on Numerix’s universal hybrid framework. We’ve also included a paper on XVA Greeks, discussing the use of pathwise derivatives of the underlying cash flows for calculation and the ability to use algorithmic differentiation to compute pathwise derivatives efficiently. Finally, the issue looks at the power of Numerix analytics in Oneview Asset Management (OVAM), a new product launched last year. Read journal issue
white paper LIBOR Alternative Rates: The Future of OTC Derivatives Pricing and Curve Construction How will LIBOR alternative rates impact derivatives valuations and curve construction going forward? Read white paper
blog Putting Quantitative Innovation into Focus for XVAs Managing xVAs is complex, and that complexity is growing as banks extend xVA to reflect new costs, such as those associated with posting initial margin, or to more-accurately reflect the costs of capital utilization. Read Blog
white paper MiFID II and Real-Time Technology Fortify Electronic Trading in OTC Markets MiFID and technologies are leading to a rise in electronic trading, this paper explores the impacts for market makers. Read white paper
white paper LIBOR: Its Astonishing Ride and How to Plan for Its End Explaination of what's important when preparing for 2021 Read white paper
quantitative research Risk Magazine Cutting Edge Research Article | Pathwise XVA Greeks for Early-Exercise Products Using a new Numerix technique, Greeks can be computed almost as quickly as the time it takes to price the derivatives. Read quantitative research
blog Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? In this blog, James Jockle, Chief Marketing Officer, shares the insights of a data science visionary, who, through his research and thought-provoking analysis of AI, arrives at an answer to the critical trust question. Read Blog
article Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? Artificial intelligence technologies have undergone a rapid evolution in recent years and have sparked significant interest among firms in multiple industries. Read article
journal issue Numerix Journal Vol. 4 No. 2 The Vol. 4 No. 2 issue presents a collection of the latest Numerix research across several areas. It begins with our latest work on SABR and later features a second article that puts Numerix contributions to SABR into context. The issue also introduces work on an efficient SIMM-MVA approach for callable exotics, as well as an extension of Carr-Pelts work on volatility surface. Lastly, the issue highlights MasterMind, a powerful module within our Oneview Asset Management solution that offers users real-time portfolio analytics and the ability to customize calculation results. Read journal issue
quantitative research Efficient SIMM-MVA Calculations for Callable Exotics This paper introduces a method which avoids nested calls to the pricing function, similar to the use of least-squares Monte Carlo (LSMC) for producing future exposures. Read quantitative research
white paper The Rise of xVA and How It Transformed an Entire Industry In this white paper, Satyam Kancharla, Chief Strategy Officer at Numerix, brings to light how xVAs have become the posterchild for risk-informed decision making and the key to unlocking trade profitability across capital markets. Read white paper
white paper Finding Flow: The Case for Electronification in OTC Markets, Its Evolution and Its Future in Illiquid Markets The financial services industry has been in a state of rapid flux ever since the first of a series of critical reforms were implemented, namely Dodd-Frank, in 2010, as well as because of the onset of disruptive technologies and new set of competitors emerging from the fintech industry. Read white paper
journal issue Numerix Journal Vol. 4 No. 1 *SPECIAL ISSUE- FRTB * The Vol. 4 No. 1 issue focuses on FRTB (the Fundamental Review of the Trading Book). In this issue, we include four Fundamental Review of the Trading Book papers, each exploring a different aspect of FRTB. The papers selected break down the underlying regulatory requirements, explain the implementation challenges, analyze the differences between IMA and SA, and look at the credit valuation adjustment (CVA) and initial margin frameworks. Read journal issue