FEBRUARY 2021 NEWSLETTER

Quantitative Research in Brief: Explore the Latest Highlights | Live Webinar 2/23
Join this discussion and connect with the Numerix QRD team to discover the latest quantitative research and development that is driving new technologies for trading and risk innovation at Numerix. You will also learn about industry trends in quant research and gain insights and commentary across a collection of quant topics.
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Machine Learning Techniques: Neural Networks
with Asymptotics Control
In this on-demand webinar, Numerix explores some
of the advantages and use cases for applying machine learning, deep learning, and neural networks in mathematical finance. The new research presented
in this session also covers areas such as neural
networks and their use in finance and spline as a
                                    control variate matching asymptotics.
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Risk Magazine Cutting Edge Research | Deep
Asymptotics
Explore the details of this new research. Leading
industry quants explain the limitations of artificial
neural networks as accurate and fast approximators
in various derivatives pricing applications and introduce their development of a new type of neural network that
overcomes these limitations.
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New Research Paper | Multi-Curve Cheyette-Style
Models with Lower Bounds on Tenor Basis Spreads
This paper presents a general multi-curve Cheyette-style model that allows precise control over tenor basis
spreads. The original specification for this model did not provide a solution for the no-arbitrage drift function. Drs. Michael Konikov and Andrew McClelland of Numerix recover the drift function and proceed to fully develop a model, providing an example with a level-dependent volatility function to secure lower bounds on spreads.
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