|
Vol III, Issue 4 April 2015
|
In This Month's Issue
Video Blog | A Quantitative Perspective: The SABR Model & Negative RatesIn this video blog, Dr.
Alexandre Antonov, Numerix SVP of Quantitative Research, discusses how the recent development of the Free Boundary SABR model for option pricing is a natural and efficient extension of the classical SABR model.
Alexandre highlights how the Free Boundary SABR Model is able to overcome some of the limitations presented by the Shifted SABR Model.
Watch Now
Numerix Research Paper | Backward Induction for Future ValuesIn this paper, Drs.
Alexandre Antonov, Serguei Issakov and Serguei Mechkov generalize the American Monte Carlo method to efficiently calculate future values (or exposures) of derivatives using an arbitrage-free model.
They propose a new algorithmic method of simulation of exposures (distributions of future values) based on an iterative backward induction, a generalization of backward induction, especially attractive for exotic portfolios.
Read Paper
Numerix Research Paper | The Free Boundary SABR: Natural Extension to Negative RatesIn this paper, Drs.
Alexandre Antonov, Michael Konikov, and Michael Spector have presented a natural generalization of the SABR model to negative rates—which is very important in the current low-interest-rate environment.
The paper derives an exact formula for the option price in the zero-correlation case and an efficient approximation for general correlation.
The simplicity of the approximation permits a straightforward implementation.
Moreover, the main formulae from the “absorbing” (standard) SABR approximation can be directly reused.
Read Paper
On-Demand Webinar | The Free Boundary SABR: Natural Extension to Negative
Rates Featured speakers Dr.
Alexandre Antonov and Dr.
Michael Konikov discuss in detail how the SABR model can be extended to incorporate a “free boundary” SABR process, which more naturally permits negative rates than a shifted SABR process and eliminates the arbitrary lower bound on rates.
View Webinar
Industry Research Report | Reducing the Risk of Using Financial ModelsIn this Special Report, Reducing the Risk of Using
Financial Models, author Kevin McPartland, Head of Market Structure and Technology Research at Greenwich Associates, explores how the movement by financial institutions and regulators to develop standardized processes and technology for managing financial model risk would
lower costs and potentially reduce systemic risk.
Read Paper
|
Most Watched Videos
Incorporating XVA into the Valuation Process Pricing Model Validation – Regulation & Best Practices A Primer on Funding Value Adjustment (FVA): Numerix Video
Blog Leveraging Real-world and Risk Neutral ESG solutions within Insurance
John Hull on the FVA Debate and Liquidity Risk in OTC Derivatives
Most Read Blogs
|
Trading BookIn this video blog, Numerix SVP Satyam Kancharla breaks down the key
components of the Fundamental Review of the Trading Book.
Specifically he addresses Expected Shortfall vs.
VaR, Liquidity Horizons, as well as the overall approach to internal models-based measurement and the revised standardized approach.
Watch Now
Video Blog | U.S.
Insurers Tackle Model Risk ManagementAlex Marion, VP of Client Solutions Group for Insurance at Numerix discusses the best practices U.S.
insurers are utilizing to manage model risk.
With the introduction of capital markets models alongside traditional actuarial models, as well as real-world and risk neutral dynamics, Alex also discusses new complexities insurers are having to face as they look to build-out a sound enterprise model risk
management framework.
Watch Now
Trading ImpactFrom Europe to Asia it seems not a
day goes by without news of another major central bank easing monetary policy, or taking rates to zero, or below.
As the “Currency Wars” debate heats up, in this video blog Numerix FX expert Udi Sela, focuses in on Denmark and the recent pressure they’ve been under.
Udi examines the outlook for the Danish Krone and how the negative rate environment is impacting FX options trading strategies.
Watch Now
Case Study | Banque Internationale à Luxembourg (BIL) Learn how
Banque Internationale à Luxembourg (BIL) uses the Numerix CrossAsset analytics platform to support its model validation and model comparison processes to conduct rigorous model analysis to independently validate pricing and risk sensitivity outputs. Read Case Study
|
News Article | Automated Trader - Numerix Addresses Global Negative Rates Concern with SABR Model Extension The Free Boundary SABR proposed by Numerix has the same number of parameters as the classical SABR with no shift needed, and it's equipped with an efficient and accurate analytical approximation, crucial for the fast calibration.
The related research paper, The Free Boundary SABR: Natural Extension to Negative Rates, derives an exact formula for the option price in the zero-correlation case, and an efficient approximation for general correlation.
Read Article
|