analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
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 blog Numerix Top 5: Thought Leadership Year in Review It’s been a year of ups and downs for market participants trading derivatives and fixed income instruments. Through all complexity, we’ve strived to offer timely and relevant insights that help you navigate today’s most pressing market and business-related challenges. Today, we share our top 5 most popular resources from 2023. Read Blog 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 blog Zero Day Options Gain Momentum with New Contract Offerings Nasdaq recently listed a series of new weekly options contracts, which traders can utilize for trading zero-day to expiration (ODTE) options. It’s speculated that Nasdaq is aiming to take advantage of the recent surge in zero-day options popularity and ramping up for continued growth in this market. Read Blog webinar FINCAD Analytics Suite: Quantitative Trading Strategies for Corporate Bonds FINCAD Analytics Suite: Quantitative Trading Strategies for Corporate Bonds Register Now white paper Is Your SOFR Readiness Being Put to the Test? Let’s Talk About Post-Transition Issues and Challenges In this Q&A, five Numerix experts discuss the various issues tied to SOFR that are impacting the market. Read white paper newsletter December Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | SOFR Challenges, Impact of regulatory landscape on risk management, Easy curve construction for RFRs Read newsletter analyst report Celent Research: Risk Technology for a Digital World In a recent Solution Brief, Celent undertook an independent evaluation of Numerix Oneview’s market risk and NxCore offerings. Findings of the report, which was not sponsored, revealed that Numerix technology excels at enabling firms to meet the current and future risk demands of a fast-paced digital world. Read analyst report 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 Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded 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 white paper Perspectives 2023: How Financial Institutions Are Continuing to Hedge In September 2023, we distributed an internal survey to Numerix client-facing professionals to collect information regarding our clients’ current hedging strategies and what drives those strategies. This paper shares the survey’s insightful results. Read white paper 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 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 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 webinar NxCore for XVA: An Advanced XVA Engine & Quant Sandbox Learn how Numerix’s NxCore product, a cloud-native development platform, can be used for high performance XVA calculations and quantitative sandboxing. Register Now webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights In October 2023, Risk.net gathered a panel of experts to discuss key aspects of XVA from a buy-side perspective, shedding light on strategies to navigate this complex terrain, helping to reduce trading costs and ensure access to liquidity from a wider panel of banks. Register Now 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 newsletter November Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Hedging Strategies in 2023, Navigating XVAs, Informing Daily Trading and Risk Decisions Read newsletter Pagination First page « First Previous page Previous … Page 5 Page 6 Page 7 Page 8 Current page 9 Page 10 Page 11 Page 12 Page 13 … 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 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 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 How the Complexity of Today’s Business Reality May Demand a Cloud Services Approach In this white paper, read how valuable harnessing the cloud through Software as a Service (SaaS) and Risk as a Service (RaaS) models can be for helping to manage the increasing complexities of running a derivatives trading business. Read white paper analyst report LIBOR Risk Q3 2020 In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR. Read analyst report analyst report The Tipping Point of Cloud and Risk Management in Capital Markets Capital markets firms are acknowledging that the cloud is a catalyst for establishing competitive advantage and the financial services sector has been taking steps to prioritize digital transformation. To meet customer requirements and remain competitive, financial services organizations must increase their agility, reduce time to market for new products and services, and address the spiraling total cost of ownership (TCO) of their IT infrastructures. Today, it is evident that all roads lead to the cloud. Read analyst report white paper LIBOR Transition Readiness: The Current Narrative Results of a Numerix Global Survey on the LIBOR Transition Read white paper quantitative research Risk Magazine Cutting Edge Article | A new arbitrage-free parametric volatility surface 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 sensitivites of future trade values. Read quantitative research white paper The Current State of XVA Usage in Latin America In this whitepaper, Augusto Carvalho, Numerix’s Regional Director of Presales, who spends a lot of time in Latin America educating banks and other institutions about XVA solutions, provides his observations on XVA practices in the region. Read white paper blog The End of LIBOR Is Getting Dangerously Close: Engage and Succeed with the Numerix LIBOR MasterClass Series In this blog, Numerix Executive Vice President and Chief Marketing Officer; James Jockle, shares how you can engage and succeed with content collections by Numerix based on the level of your firm’s LIBOR transition readiness. Read Blog Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded analyst report Structured Notes: Transforming Risk into Opportunities In this article, Risk.net leads a discussion with industry representatives, to capture what the current market environment means for traders, issuers, risk managers and investors operating in structured products. Read analyst report analyst report LIBOR Risk Q1 2020 In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR. Read analyst report quantitative research Neural Networks with Asymptotics Control Artificial Neural Networks (ANNs) have recently been suggested for use in derivatives pricing applications as accurate and fast approximators to various financial models. Read quantitative research blog The Market Impact of SOFR Discounting: What We Know So Far Numerix Senior Vice President, Financial Engineering; Ping Sun, shares The Market Impact of SOFR Discounting: What We Know So Far Read Blog white paper The Capital Markets 2020: In the Eye of Two Storms In this white paper, Numerix Chief Strategy Officer and EVP of Client Services, Satyam Kancharla, provides his view on the drivers of change and their implications for the current and future state of the capital markets. Read white paper analyst report Trading, Technology and the LIBOR Transition Discover the driving forces behind the LIBOR transition in this new ebook prepared by Greenwich Associates. Read analyst report white paper Analyzing the Market Impact of SOFR Discounting In this white paper, Ping Sun, Senior Vice President, Financial Engineering, explains the differences between OIS curves and SOFR curves, and the impact of SOFR discounting on future cashflow. Read white paper journal issue Numerix Journal Vol. 6 No. 1 The Vol 6. No. 1 Issue of the Numerix Journal highlights Numerix's achievements in two areas: the ongoing quantitative research and development which extends the functionality of our products, and the innovative Python-based approach to CrossAsset templates. The issue presents papers on the following topics: multi-curve modeling for tenor basis spreads, a new arbitrage-free parametric volatility surface, and STIRs and OIS futures in the Hull-White model. This journal concludes with an article on next generation python-based templates, and introduces the concept of a CrossAsset worker process. Read journal issue quantitative research STIRs and OIS Futures in the Hull-White Model This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping. Read quantitative research Pagination First page « First Previous page Previous … Page 5 Page 6 Page 7 Page 8 Current page 9 Page 10 Page 11 Page 12 Page 13 … 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 Page 7 Current page 8 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.
blog Numerix Top 5: Thought Leadership Year in Review It’s been a year of ups and downs for market participants trading derivatives and fixed income instruments. Through all complexity, we’ve strived to offer timely and relevant insights that help you navigate today’s most pressing market and business-related challenges. Today, we share our top 5 most popular resources from 2023. Read Blog
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
blog Zero Day Options Gain Momentum with New Contract Offerings Nasdaq recently listed a series of new weekly options contracts, which traders can utilize for trading zero-day to expiration (ODTE) options. It’s speculated that Nasdaq is aiming to take advantage of the recent surge in zero-day options popularity and ramping up for continued growth in this market. Read Blog
webinar FINCAD Analytics Suite: Quantitative Trading Strategies for Corporate Bonds FINCAD Analytics Suite: Quantitative Trading Strategies for Corporate Bonds Register Now
white paper Is Your SOFR Readiness Being Put to the Test? Let’s Talk About Post-Transition Issues and Challenges In this Q&A, five Numerix experts discuss the various issues tied to SOFR that are impacting the market. Read white paper
newsletter December Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | SOFR Challenges, Impact of regulatory landscape on risk management, Easy curve construction for RFRs Read newsletter
analyst report Celent Research: Risk Technology for a Digital World In a recent Solution Brief, Celent undertook an independent evaluation of Numerix Oneview’s market risk and NxCore offerings. Findings of the report, which was not sponsored, revealed that Numerix technology excels at enabling firms to meet the current and future risk demands of a fast-paced digital world. Read analyst report
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
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
white paper Perspectives 2023: How Financial Institutions Are Continuing to Hedge In September 2023, we distributed an internal survey to Numerix client-facing professionals to collect information regarding our clients’ current hedging strategies and what drives those strategies. This paper shares the survey’s insightful results. Read white paper
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
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
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
webinar NxCore for XVA: An Advanced XVA Engine & Quant Sandbox Learn how Numerix’s NxCore product, a cloud-native development platform, can be used for high performance XVA calculations and quantitative sandboxing. Register Now
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights In October 2023, Risk.net gathered a panel of experts to discuss key aspects of XVA from a buy-side perspective, shedding light on strategies to navigate this complex terrain, helping to reduce trading costs and ensure access to liquidity from a wider panel of banks. Register Now
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
newsletter November Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Hedging Strategies in 2023, Navigating XVAs, Informing Daily Trading and Risk Decisions Read newsletter
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
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 How the Complexity of Today’s Business Reality May Demand a Cloud Services Approach In this white paper, read how valuable harnessing the cloud through Software as a Service (SaaS) and Risk as a Service (RaaS) models can be for helping to manage the increasing complexities of running a derivatives trading business. Read white paper
analyst report LIBOR Risk Q3 2020 In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR. Read analyst report
analyst report The Tipping Point of Cloud and Risk Management in Capital Markets Capital markets firms are acknowledging that the cloud is a catalyst for establishing competitive advantage and the financial services sector has been taking steps to prioritize digital transformation. To meet customer requirements and remain competitive, financial services organizations must increase their agility, reduce time to market for new products and services, and address the spiraling total cost of ownership (TCO) of their IT infrastructures. Today, it is evident that all roads lead to the cloud. Read analyst report
white paper LIBOR Transition Readiness: The Current Narrative Results of a Numerix Global Survey on the LIBOR Transition Read white paper
quantitative research Risk Magazine Cutting Edge Article | A new arbitrage-free parametric volatility surface 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 sensitivites of future trade values. Read quantitative research
white paper The Current State of XVA Usage in Latin America In this whitepaper, Augusto Carvalho, Numerix’s Regional Director of Presales, who spends a lot of time in Latin America educating banks and other institutions about XVA solutions, provides his observations on XVA practices in the region. Read white paper
blog The End of LIBOR Is Getting Dangerously Close: Engage and Succeed with the Numerix LIBOR MasterClass Series In this blog, Numerix Executive Vice President and Chief Marketing Officer; James Jockle, shares how you can engage and succeed with content collections by Numerix based on the level of your firm’s LIBOR transition readiness. Read Blog
analyst report Structured Notes: Transforming Risk into Opportunities In this article, Risk.net leads a discussion with industry representatives, to capture what the current market environment means for traders, issuers, risk managers and investors operating in structured products. Read analyst report
analyst report LIBOR Risk Q1 2020 In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR. Read analyst report
quantitative research Neural Networks with Asymptotics Control Artificial Neural Networks (ANNs) have recently been suggested for use in derivatives pricing applications as accurate and fast approximators to various financial models. Read quantitative research
blog The Market Impact of SOFR Discounting: What We Know So Far Numerix Senior Vice President, Financial Engineering; Ping Sun, shares The Market Impact of SOFR Discounting: What We Know So Far Read Blog
white paper The Capital Markets 2020: In the Eye of Two Storms In this white paper, Numerix Chief Strategy Officer and EVP of Client Services, Satyam Kancharla, provides his view on the drivers of change and their implications for the current and future state of the capital markets. Read white paper
analyst report Trading, Technology and the LIBOR Transition Discover the driving forces behind the LIBOR transition in this new ebook prepared by Greenwich Associates. Read analyst report
white paper Analyzing the Market Impact of SOFR Discounting In this white paper, Ping Sun, Senior Vice President, Financial Engineering, explains the differences between OIS curves and SOFR curves, and the impact of SOFR discounting on future cashflow. Read white paper
journal issue Numerix Journal Vol. 6 No. 1 The Vol 6. No. 1 Issue of the Numerix Journal highlights Numerix's achievements in two areas: the ongoing quantitative research and development which extends the functionality of our products, and the innovative Python-based approach to CrossAsset templates. The issue presents papers on the following topics: multi-curve modeling for tenor basis spreads, a new arbitrage-free parametric volatility surface, and STIRs and OIS futures in the Hull-White model. This journal concludes with an article on next generation python-based templates, and introduces the concept of a CrossAsset worker process. Read journal issue
quantitative research STIRs and OIS Futures in the Hull-White Model This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping. Read quantitative research
