Derivatives Insights & Innovations

In this month's issue:


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 On-Demand Webinars

Trussoni, Jockle

A Primer on Solvency II for Insurers Around the Globe

Insurers around the globe will be watching carefully as Solvency II takes effect, to see whether the regulations meet their intended objectives—and to learn from both the successes and failures. In this on-demand webinar, featured speaker Luca Trussoni, Senior Financial Engineer at Numerix, presents a primer on Solvency II to help insurance practitioners better understand and prepare for this highly complex directive.
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TowerGroup & Numerix

FIA Market Trends & Modeling Challenges: A CEB TowerGroup & Numerix Co-Presentation

Join featured speakers Samuel Stuckal of CEB TowerGroup, along with Dr. Pawel Konieczny and Jae Jung of Numerix, to discuss recent FIA market trends. Our experts explore the drivers behind the upsurge in FIA sales, as well as considerations and challenges for insurers as they attempt to model and manage the risk of new FIA product designs.
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 Video Blog

Global Market Outlook: Q3 Reflections and Q4 Expectations

In this video blog, Udi Sela, VP of Partner Solutions, reflects on the highs and lows of the past quarter and provides an outlook for what the markets could hold in Q4. Jim Jockle, CMO, discusses recent highlights from Bloomberg, and concludes with a discussion on the return of correlation and how investors are managing this highly correlated market. Watch Video

Global Market Outlook: Q3 Reflections and Q4 Expectations

 Insights and Innovations

Risk Executive Series


What’s Driving Risk Infrastructure for OTC Derivatives?

Numerix Chief Marketing Officer Jim Jockle explores the latest requirements and challenges driving the evolution of risk infrastructure amongst derivative market participants in this blog discussion. Have you taken a closer look at the requirements driving the evolution of your risk infrastructure? Are you addressing all the necessary requirements, at the optimal time, in the most efficient way? Read Blog

Hot-start Initialization of the Heston Model


"Hot-start" Initialization of the Heston Model

In this research paper, Dr. Serguei Mechkov, Senior VP of Quantitative Research at Numerix, suggests a new way of setting up multifactor models with hidden variables. The paper asserts that the standard initial condition, which assigns some fixed value to the stochastic volatility subprocess, is illogical and greatly underestimates the effect of the hidden variable. Read Paper

Backward Induction for Future Values


Backward Induction for Future Values

In this research 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. Specifically, they present efficient calculations of the portfolio values (exposure) in a self-consistent way using an arbitrage-free model that is calibrated to both implied market and real-world projections. 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.
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 Case Study

Mazars Audit and Advisory Firm

Read more about why Mazars’ selected Numerix analytics for model validation, price verification and EMIR compliance. Numerix CrossAsset analytics will be used within Mazar’s Actuariat by the Quantitative and Actuarial teams for derivatives pricing, modeling and insurance actuarial work. Read Case Study


 In the News


Intel® and Numerix Work Together to Optimize Performance - Leads to 1.78X Speedup

In leveraging the Intel® Xeon® processor platform, Intel and Numerix have worked together to optimize the performance of CrossAsset Analytics on an Intel Xeon processor-based platform by vectorizing the core computational library. This improved performance of CrossAsset Analytics by 1.78x by using Intel TBB memory allocator. Read the full article

 Upcoming events and webinars

November 16 - 17 | SOA Equity-Based Insurance Guarantees Conference

 Most watched videos

 Most read blogs

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