Quant Research & Modeling

Dawn of Alternative Reference Rates: Curve Construction Fundamentals

In this presentation, Ping Sun, SVP of Financial Engineering for Numerix CrossAsset tackles curve complexity under RFRs

Numerix Quantitative Leadership Series: New Arbitrage-Free Parametric Volatility Surface

Dr. Michael Konikov, SVP and Head of Quantitative Development introduced a new parametric volatility surface, Ensemble Carr-Pelts (ECP), that guarantees the absence of arbitrage and has closed form expressions for both options values and local volatility.

04/18/19

Webinar

Taking Quantitative Analytics Beyond the Spreadsheet

Learn how capital markets players are leveraging the combined power of MATLAB and Numerix CrossAsset to create rich quantitative modeling sandboxes with the robust controls and structure of enterprise level analytics.

03/27/19

White paper

The Impact of LIBOR's Phaseout on Technology: Maneuvering Through the Curve Highway

In this Q&A, we discuss the technology perspective tied to the switch to the LIBOR alternative reference rates

03/20/19

Webinar

Moving Beyond LIBOR with Numerix’s Advanced Multi-Curve Framework

Examined curve stripping challenges resulting from the decomission of LIBOR and how Numerix’s cutting-edge multi-curve framework can help market participants address them. Presenter Ping Sun, PhD, SVP of Financial Engineering, Numerix

01/18/19

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.

09/06/18

Blog post

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.

06/04/18

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.

01/31/18

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.

09/27/17

Quantitative research

PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation

We generalize the algorithmic differentiation method proposed by Antonov (2016) from price Greeks to XVA Greeks.

12/15/16

Quantitative research

Algorithmic Differentiation for Callable Exotics

Dr. Alexandre Antonov studies the algorithmic calculation of present values greeks for callable exotic instruments.

11/04/16

White paper

Understanding the Riskiness of A GLWB Rider For FIAs

Credit support annexes specify rules for posting collateral. In this paper, Drs. Alexander Antonov and Vladimir Piterbarg propose advanced approaches for valuing the optionality of currency choice in multi-currency CSAs.

05/20/16

Webinar

Impact of Negative Rates on Derivatives Valuations & Risk Calculations

Dr. Dan Li presents a case study on the impact of negative rates for derivative practitioners, specifically focusing on the Japanese derivative markets since the Bank of Japan pushed rates below zero.

04/20/16

Webinar

Real World Algorithmic Exposure: An In-Depth Exploration with Case Study Examples

On March 2, 2016 featured speaker Dr. Ping Sun, built on his previous presentation introducing Real World Algorithmic Exposure and took a deep dive into the innovative new resampling approach, outlining the theory behind it along with showcasing examples of resampling in action and a comparison of the Algorithmic Exposure and Brute Force approaches.

03/03/16

Blog post

Numerix Celebrates 20 Years of Innovation in Pricing and Risk

In this blog, we discuss our experience at Numerix as a company embarking on our 20th year in business. We are proud of both the legacy behind us and the exciting future before us.

02/10/16

Quant Research & Modeling

Results

Dawn of Alternative Reference Rates: Curve Construction Fundamentals

Numerix Quantitative Leadership Series: New Arbitrage-Free Parametric Volatility Surface

Taking Quantitative Analytics Beyond the Spreadsheet

The Impact of LIBOR's Phaseout on Technology: Maneuvering Through the Curve Highway

Moving Beyond LIBOR with Numerix’s Advanced Multi-Curve Framework

Risk Magazine Cutting Edge Research Article | Efficient Simm-MVA calculations for callable exotics

Putting Quantitative Innovation into Focus for XVAs

Risk Magazine Cutting Edge Research Article | Pathwise XVA Greeks for Early-Exercise Products

Efficient SIMM-MVA Calculations for Callable Exotics

PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation

Algorithmic Differentiation for Callable Exotics

Understanding the Riskiness of A GLWB Rider For FIAs

Impact of Negative Rates on Derivatives Valuations & Risk Calculations

Real World Algorithmic Exposure: An In-Depth Exploration with Case Study Examples

Numerix Celebrates 20 Years of Innovation in Pricing and Risk