white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
Resources Filter by Type All Resources Publications Webinars Case Studies Videos Podcasts Events Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform white paper Real-Time Risk Management in Practice: The Experts’ Views This whitepaper provides an overview of some of the key topics discussed by a group of market experts during a roundtable webinar hosted by CubeLogic in partnership with Numerix and PRMIA. Various applications of risk management in real time were examined, including, among others. Read white paper analyst report LIBOR Risk Q2 2021 As the deadline to Libor cessation approaches, Liang Wu, executive director of financial engineering and head of cross asset product management at Numerix, presents a series of market themes that warrant closer inspection. Read analyst report webinar Modelling Energy Curves for XVA Watch Numerix’s SVP of Quantitative Research Andrew McClelland present updates to his latest research, "Modelling Energy Curves for XVA." Register Now white paper The New Rules of Market Risk Management This paper highlights several of the key viewpoints expressed by the panel and explores some the current dynamics that are impacting approaches to and the complexities of market risk management. Read white paper webinar Next generation technologies and the future of trading In this webinar, Numerix and Risk.net panelists examine the future of trading technology, how companies will implement these new innovations, and explore the range of new skills that might be needed. Register Now white paper The Art of Effective Market Risk Management During a Period of Transformation White paper | The Art of Effective Market Risk Management During a Period of Transformation Read white paper webinar SRP Europe Conference 2021: Optimizing Financial Valuations to Improve Investor Experience During SRP’s 18th annual flagship conference, SRP Europe 2021, thought leaders from across the European market came together to examine, discuss and debate the state of Europe’s structured products industry. Register Now webinar QuantMinds 2020: Modelling Energy Curves for XVA This on-demand webinar offers insights and commentary across several areas including: Seasonality in volatilities & correlations for energy curves; oil, gas, power, etc. | XVA & the importance of correlations | The Andersen ('10) model, akin to Cheyette ('92) with seasonality in response functions | Estimation via state-space representation and filtering | akin to Dynamic Nelson-Siegel (’06) | Objective measure-vs.-pricing measure implications and handling stochastic volatility. Register Now white paper Examining What's Next for LIBOR: Top Themes Dominating the Transition in 2021 In this new whitepaper, Numerix LIBOR transition expert Liang Wu provides his views and insights on the key themes that deserve examination. Read white paper Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded webinar Risk.net | Modifying Market Risk Management – A Year After Covid-19 Join this panel discussion with Numerix and Risk.net to understand how capital markets participants revised their market risk management practices during the height of market volatility and what this means for the future. Register Now webinar Adopting a Cloud-Based Risk Management Strategy In this webinar, held in partnership with Microsoft, you will learn more about the value running real-time pricing and risk management calculations in the cloud can create for financial services firms Register Now webinar Real-Time Risk Management at the Enterprise Level: Uses and Benefits for Risk Managers In this webinar hosted by CubeLogic, in partnership with Numerix, IOWArocks and PRMIA, market experts come together to examine the role real-time enterprise risk measurement and reporting has to play in practice today. Register Now webinar Quantitative R&D Innovations Update In this new research quantitative experts overcome this significant limitation and develop a new type of neural networks that incorporate large-value asymptotics, when known, allowing explicit control over extrapolation. Register Now webinar Neural Networks with Asymptotics Control In this webinar you will learn more about some of the advantages and use cases for applying machine learning, deep learning, and neural networks in mathematical finance. Register Now quantitative research Risk Magazine Cutting Edge Article | Machine Learning: Deep Asymptotics In this research, Drs. Alexandre Antonov, Michael Konikov and Vladimir Piterbarg overcome limitations and develop a new type of neural network that incorporates large-value asymptotics, allowing explicit control over extrapolation. Read quantitative research quantitative research 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. Read quantitative research webinar Risk.net | LIBOR Telethon: Derivatives, Trading and Liquidity In December, Risk.net hosted a LIBOR Telethon where they sourced dozens of pressing questions from the Risk.net audience and hosted a live Q&A session with a panel of industry experts. Register Now webinar The Impact of New Alternative Reference Rates on Curve Instruments and Curve Modelling In November 2020 Numerix had the privilege of participating in Asia Risk Congress, Asia's leading risk management, derivatives and regulation event. At that event, Thomas Chan, Director, Financial Engineering for Numerix based in Hong Kong presented on-camera an in-depth presentation exploring the LIBOR Transition. With LIBOR cessation on track for a December 2021 end, the goal of this presentation is to bring the Asian markets up to speed on transition progress. Register Now Pagination First page « First Previous page Previous … Page 7 Page 8 Page 9 Page 10 Current page 11 Page 12 Page 13 Page 14 Page 15 … Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform Content type All Publications Analyst report Article Blog post Journal issue Newsletter Quantitative research White paper quantitative research Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research white paper Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years. Read white paper journal issue Numerix Journal Vol. 1, No. 1 In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation. Read journal issue white paper Model Risk: The Challenges of Legacy Code and Best Practices In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation. Read white paper quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research white paper The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts. Read white paper quantitative research Funding Value Adjustment for General Financial Instruments: Theory and Practice This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level. Read quantitative research white paper Mastering Model Risk: Assessment, Regulation and Best Practices In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk. Read white paper Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded quantitative research SABR Spreads Its Wings Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. Read quantitative research white paper Considering Stochastic Mortality in Pricing Variable Annuities: Applications of the Lee Carter Model This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities. Read white paper white paper Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice In this white paper, Numerix VP and Insurance Product Manager Ghali Boukfaoui, explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG). Read white paper quantitative research USLV: Unspanned Stochastic Local Volatility Model In this article, we propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Read quantitative research quantitative research Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps. Read quantitative research blog Advanced FX Hedging Strategies (and what NOT to do): A Case Study Learn advanced FX hedging strategies and what is most effective. Read Blog quantitative research Algorithmic Exposure and CVA for Exotic Derivatives In this article, we develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments. Read quantitative research blog Capturing Stochastic Volatility: Key to Trading Inflation Derivatives Modeling the smile and capturing the stochastic nature of volatility has become critically important for inflation derivatives trading. Read Blog quantitative research Analytical Approximations for Short Rate Models In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research Pagination First page « First Previous page Previous … Page 4 Page 5 Page 6 Page 7 Page 8 Page 9 Page 10 Current page 11 Page 12 Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. Pagination First page « First Previous page Previous Page 1 Page 2 Page 3 Page 4 Page 5 Page 6 Current page 7 Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. Pagination First page « First Previous page Previous Page 1 Current page 2 Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found.
white paper Real-Time Risk Management in Practice: The Experts’ Views This whitepaper provides an overview of some of the key topics discussed by a group of market experts during a roundtable webinar hosted by CubeLogic in partnership with Numerix and PRMIA. Various applications of risk management in real time were examined, including, among others. Read white paper
analyst report LIBOR Risk Q2 2021 As the deadline to Libor cessation approaches, Liang Wu, executive director of financial engineering and head of cross asset product management at Numerix, presents a series of market themes that warrant closer inspection. Read analyst report
webinar Modelling Energy Curves for XVA Watch Numerix’s SVP of Quantitative Research Andrew McClelland present updates to his latest research, "Modelling Energy Curves for XVA." Register Now
white paper The New Rules of Market Risk Management This paper highlights several of the key viewpoints expressed by the panel and explores some the current dynamics that are impacting approaches to and the complexities of market risk management. Read white paper
webinar Next generation technologies and the future of trading In this webinar, Numerix and Risk.net panelists examine the future of trading technology, how companies will implement these new innovations, and explore the range of new skills that might be needed. Register Now
white paper The Art of Effective Market Risk Management During a Period of Transformation White paper | The Art of Effective Market Risk Management During a Period of Transformation Read white paper
webinar SRP Europe Conference 2021: Optimizing Financial Valuations to Improve Investor Experience During SRP’s 18th annual flagship conference, SRP Europe 2021, thought leaders from across the European market came together to examine, discuss and debate the state of Europe’s structured products industry. Register Now
webinar QuantMinds 2020: Modelling Energy Curves for XVA This on-demand webinar offers insights and commentary across several areas including: Seasonality in volatilities & correlations for energy curves; oil, gas, power, etc. | XVA & the importance of correlations | The Andersen ('10) model, akin to Cheyette ('92) with seasonality in response functions | Estimation via state-space representation and filtering | akin to Dynamic Nelson-Siegel (’06) | Objective measure-vs.-pricing measure implications and handling stochastic volatility. Register Now
white paper Examining What's Next for LIBOR: Top Themes Dominating the Transition in 2021 In this new whitepaper, Numerix LIBOR transition expert Liang Wu provides his views and insights on the key themes that deserve examination. Read white paper
webinar Risk.net | Modifying Market Risk Management – A Year After Covid-19 Join this panel discussion with Numerix and Risk.net to understand how capital markets participants revised their market risk management practices during the height of market volatility and what this means for the future. Register Now
webinar Adopting a Cloud-Based Risk Management Strategy In this webinar, held in partnership with Microsoft, you will learn more about the value running real-time pricing and risk management calculations in the cloud can create for financial services firms Register Now
webinar Real-Time Risk Management at the Enterprise Level: Uses and Benefits for Risk Managers In this webinar hosted by CubeLogic, in partnership with Numerix, IOWArocks and PRMIA, market experts come together to examine the role real-time enterprise risk measurement and reporting has to play in practice today. Register Now
webinar Quantitative R&D Innovations Update In this new research quantitative experts overcome this significant limitation and develop a new type of neural networks that incorporate large-value asymptotics, when known, allowing explicit control over extrapolation. Register Now
webinar Neural Networks with Asymptotics Control In this webinar you will learn more about some of the advantages and use cases for applying machine learning, deep learning, and neural networks in mathematical finance. Register Now
quantitative research Risk Magazine Cutting Edge Article | Machine Learning: Deep Asymptotics In this research, Drs. Alexandre Antonov, Michael Konikov and Vladimir Piterbarg overcome limitations and develop a new type of neural network that incorporates large-value asymptotics, allowing explicit control over extrapolation. Read quantitative research
quantitative research 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. Read quantitative research
webinar Risk.net | LIBOR Telethon: Derivatives, Trading and Liquidity In December, Risk.net hosted a LIBOR Telethon where they sourced dozens of pressing questions from the Risk.net audience and hosted a live Q&A session with a panel of industry experts. Register Now
webinar The Impact of New Alternative Reference Rates on Curve Instruments and Curve Modelling In November 2020 Numerix had the privilege of participating in Asia Risk Congress, Asia's leading risk management, derivatives and regulation event. At that event, Thomas Chan, Director, Financial Engineering for Numerix based in Hong Kong presented on-camera an in-depth presentation exploring the LIBOR Transition. With LIBOR cessation on track for a December 2021 end, the goal of this presentation is to bring the Asian markets up to speed on transition progress. Register Now
quantitative research Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research
quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research
white paper Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years. Read white paper
journal issue Numerix Journal Vol. 1, No. 1 In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation. Read journal issue
white paper Model Risk: The Challenges of Legacy Code and Best Practices In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation. Read white paper
quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research
white paper The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts. Read white paper
quantitative research Funding Value Adjustment for General Financial Instruments: Theory and Practice This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level. Read quantitative research
white paper Mastering Model Risk: Assessment, Regulation and Best Practices In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk. Read white paper
quantitative research SABR Spreads Its Wings Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. Read quantitative research
white paper Considering Stochastic Mortality in Pricing Variable Annuities: Applications of the Lee Carter Model This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities. Read white paper
white paper Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice In this white paper, Numerix VP and Insurance Product Manager Ghali Boukfaoui, explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG). Read white paper
quantitative research USLV: Unspanned Stochastic Local Volatility Model In this article, we propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Read quantitative research
quantitative research Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps. Read quantitative research
blog Advanced FX Hedging Strategies (and what NOT to do): A Case Study Learn advanced FX hedging strategies and what is most effective. Read Blog
quantitative research Algorithmic Exposure and CVA for Exotic Derivatives In this article, we develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments. Read quantitative research
blog Capturing Stochastic Volatility: Key to Trading Inflation Derivatives Modeling the smile and capturing the stochastic nature of volatility has become critically important for inflation derivatives trading. Read Blog
quantitative research Analytical Approximations for Short Rate Models In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research