Technology & Innovation

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.

The State of Capital Markets Post COVID-19: Major Paradigm Shifts

In this webinar, get a better understanding of the trends and challenges borne by market participants in both the front and middle office as a result of disruptions caused by the unprecedented COVID-19 pandemic.

11/06/20

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.

10/30/20

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.

10/30/20

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.

10/06/20

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.

08/07/20

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.

06/25/20

Webinar

The Benefits of Python with Numerix CrossAsset: Migrating Excel Use Cases to Python

In this webinar, Brian Boucher, VP Product Management at Numerix, details the advantages of using Python over Excel and explains how Python can help give you an edge in today's markets.

05/06/20

Webinar

The LIBOR Transition: Fallback Curve Analysis

Learn about the latest developments from ISDA’s IBOR fallback consultation and how you can use Numerix CrossAsset to conduct P&L impact analyses on LIBOR fallback curves.

03/12/20

Image of papers strewn about, top-down view

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.

03/10/20

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.

02/06/20

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.

12/06/19

Webinar

Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting

Learn how Numerix and Python can be used to perform impact analysis on the switch from OIS to SOFR discounting, including the expected cash compensation and risk exchanges from major clearing houses in October 2020.

11/21/19

SOFR and ESTR Quant Research Teaser Tile

Quantitative research

SOFR and €STR Discounting: Forward Convexity from Discount-Rate Transition

In this technical paper, Jonathan Rosen, PhD, discusses the challenges surrounding the alternative reference rates (ARRs) replacing LIBOR and how market participants can cope.

11/12/19

White paper

Talking XVA: Pace of Adoption, New Technology & Cloud

Numerix’s Irina Slobodyanyuk, Lead Product Manager for XVA and Financial Engineer for Risk, shares her expert insights on these key topics and more

10/28/19

Technology & Innovation

Results

Risk Magazine Cutting Edge Article | Multi-curve Cheyette-style models with lower bounds on tenor basis spreads

The State of Capital Markets Post COVID-19: Major Paradigm Shifts​

Aite Impact Report

How the Complexity of Today’s Business Reality May Demand a Cloud Services Approach

The Tipping Point of Cloud and Risk Management in Capital Markets

Risk Magazine Cutting Edge Article | A new arbitrage-free parametric volatility surface

Structured Notes: Transforming Risk into Opportunities

The Benefits of Python with Numerix CrossAsset: Migrating Excel Use Cases to Python

The LIBOR Transition: Fallback Curve Analysis

Neural Networks with Asymptotics Control

The Capital Markets 2020: In the Eye of Two Storms

STIRs and OIS Futures in the Hull-White Model

Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting

SOFR and €STR Discounting: Forward Convexity from Discount-Rate Transition

Talking XVA: Pace of Adoption, New Technology & Cloud

The State of Capital Markets Post COVID-19: Major Paradigm Shifts