analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
analyst report Numerix Tops Chartis Rankings for Credit Risk Excellence Read more about Numerix Tops Chartis Rankings for Credit Risk Excellence
webinar Master Variance & Dispersion Trades with Numerix CrossAsset Read more about Master Variance & Dispersion Trades with Numerix CrossAsset
Resources Filter by Type All Resources Publications Webinars Case Studies Videos Podcasts 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 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 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 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 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 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 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 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 Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded quantitative research Generalized Vanna-Volga Method and Its Applications In this article, we give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in application to pricing of contracts with European exercise on a single underlying. Read quantitative research quantitative research Decoupled American Option Pricing Method: Computation of Implied Volatilities and Further Applications In this article, we introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal. Read quantitative research quantitative research Dynamic Model for Pricing and Hedging Heterogenous CDOs In this article, we present a simple bottom-up dynamic credit model that can be calibrated simultaneously to the market quotes on CDO tranches and individual CDSs constituting the credit portfolio. Read quantitative research quantitative research Analytical Formulas for Pricing CMS Products in the LMM with Stochastic Volatility In this paper, we develop a series of approximations for a fast analytical pricing of European constant maturity swap (CMS) products, such as CMS swaps, CMS caps/floors, and CMS spread options, for the LIBOR Market Model (LMM) with stochastic volatility. Read quantitative research quantitative research Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption In this article, we develop a technique of parameter averaging and Markovian projection on a quadratic volatility model based on a term-by-term matching of the asymptotic expansions of option prices in volatilities. Read quantitative research quantitative research Markovian Projection to a Displaced Volatility Heston Model In this article, we generalize the results of Markovian Projection onto a Heston model to a wider class of approximating models, a Heston model with displaced volatility. Read quantitative research quantitative research Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt. Read quantitative research quantitative research Markovian Projection onto a Displaced Diffusion In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes. Read quantitative research quantitative research Markovian Projection Onto a Heston Model In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process. Read quantitative research Pagination First page « First Previous page Previous Page 1 Current page 2 Page 3 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 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 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 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 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 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 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 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 Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded quantitative research Generalized Vanna-Volga Method and Its Applications In this article, we give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in application to pricing of contracts with European exercise on a single underlying. Read quantitative research quantitative research Decoupled American Option Pricing Method: Computation of Implied Volatilities and Further Applications In this article, we introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal. Read quantitative research quantitative research Dynamic Model for Pricing and Hedging Heterogenous CDOs In this article, we present a simple bottom-up dynamic credit model that can be calibrated simultaneously to the market quotes on CDO tranches and individual CDSs constituting the credit portfolio. Read quantitative research quantitative research Analytical Formulas for Pricing CMS Products in the LMM with Stochastic Volatility In this paper, we develop a series of approximations for a fast analytical pricing of European constant maturity swap (CMS) products, such as CMS swaps, CMS caps/floors, and CMS spread options, for the LIBOR Market Model (LMM) with stochastic volatility. Read quantitative research quantitative research Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption In this article, we develop a technique of parameter averaging and Markovian projection on a quadratic volatility model based on a term-by-term matching of the asymptotic expansions of option prices in volatilities. Read quantitative research quantitative research Markovian Projection to a Displaced Volatility Heston Model In this article, we generalize the results of Markovian Projection onto a Heston model to a wider class of approximating models, a Heston model with displaced volatility. Read quantitative research quantitative research Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt. Read quantitative research quantitative research Markovian Projection onto a Displaced Diffusion In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes. Read quantitative research quantitative research Markovian Projection Onto a Heston Model In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process. Read quantitative research Pagination First page « First Previous page Previous Page 1 Current page 2 Page 3 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 webinar Beyond Greeks: Multi-Factor Scenario Analysis for Convertible Bonds Joseph O’Reilly of Numerix provides a primer on scenario analysis specifically designed for convertible traders, so you can gain foresight – rather than hindsight – into how your portfolio will behave in different market regimes. Register Now webinar Demystifying FX TARNs: From Pricing Challenges to Risk Management Join Anirban Chakraborty, Financial Engineer of Numerix as he demystifies FX TARNs. Gain valuable insights into their applications, explore the unique pricing challenges they present, and delve into the intricacies of its risk management. During the webinar, Anirban will also showcase Numerix's approach to navigating this structure effectively. Register Now webinar Navigating Asia’s Structured Products Boom: Pricing, Risk, and Tools for Success Gain invaluable knowledge on navigating Asia’s booming structured products market. Learn powerful new strategies to overcome pricing complexities, adapt to evolving risk management practices, and leverage advanced tools to enhance operational efficiency. Register Now webinar Make Data Sexy Again: Hard-Earned Insights from a Veteran Quant Market data might not sound glamorous, but its impact is critical. In this webinar, Ola Hammarlid, PhD, shares insight on market data management and its vital role in financial operations. Register Now webinar Are Spreadsheets Dead? A Debate Amongst Market Practitioners Gain key insight into what the future holds for spreadsheet usage in finance and viable alternatives in our on-demand webinar. Register Now webinar Charting Volatility: Strategic Insights on APAC Monetary Policy Divergence and Market Dynamics Discover how financial institutions are coping with market volatility and differing monetary policies across the APAC region. Register Now webinar Investment Certificates & Innovation: An Intesa Sanpaolo & Numerix Case Study Join Alessandro Manini and Samuele Marafin of Intesa Sanpaolo, along with Martina Nicolao of Numerix as they discuss the investment certificate market and delve into how Numerix analytics were utilized by Intesa Sanpaolo to model new types of investment certificates. Register Now webinar Algorithmic Differentiation for Greeks Stability and Fast Computation Discover how the Jacobian Greeks approach and Algorithmic Differentiation can revolutionize your Greeks calculations, making them faster and more accurate while overcoming the limitations of traditional methods. Register Now webinar Adapting to the Ever-Evolving Financial Market with Innovative Technologies Learn about cutting-edge technologies and tools that are helping firms stay ahead in the APAC financial market. Register Now Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded webinar Derivatives XVAs: Challenges & Opportunities for the Buy Side Join Andrea Allegra of Numerix as he discusses how XVAs pose both challenges and opportunities for practitioners at buy side firms. Register Now webinar Monetary Policy Shifts: Gaining Market Visibility and Managing Risks In this video, Peter O’Connor from Numerix will perform a demo of FINCAD Analytics Suite from Numerix to showcase how this powerful, yet user-friendly derivatives analytics library can help users gain accurate market insights and identify new opportunities in today's dynamic market environment. Register Now webinar Equity Volatility Surface Generation Join Dr. Ping Sun of Numerix as he covers key aspects of equity volatility surface generation and delves into practical issues and considerations. Register Now webinar FX Accumulators: Payoffs, Pricing, & Risk Management using CrossAsset Learn more about FX Accumulators, including their payoffs, usage, pricing considerations, risks, and how Numerix CrossAsset can enhance Accumulator trading. Register Now webinar Valuing Insurance Liabilities with Embedded Financial Guarantees Learn how Numerix CrossAsset can be used to value insurance products with benefits such as a Guaranteed Minimum Death Benefit (GMDB). Register Now webinar Cloud Deployment Strategies for Financial Instrument Pricing & Risk Management Learn how leading financial institutions leverage Numerix’s cloud technology to solve strategic front and middle office challenges. Register Now webinar Pricing Derivatives without Volatility Data: A Real-Life Emerging Markets Example Learn how to use advanced quantitative methods to construct a stable volatility surface in illiquid markets, including a live demo showcasing how Numerix CrossAsset can be utilized for this task. Register Now webinar Real-time Risk Management in the Age of Dynamic Markets and Data A panel of experts delve into how recent operational overhauls are influencing numerical considerations and strategies for practitioners. Register Now webinar Real-time Risk: How Practical Is It, and Is It Worth Striving For? A panel of experts discuss the ramifications of real-time risk metrics and real-time risk management. Register Now Pagination First page « First Previous page Previous Page 1 Current page 2 Page 3 Page 4 Page 5 Page 6 Page 7 Page 8 Page 9 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 case study Kerius Finance CrossAsset Risk Case Study Kerius Finance integrated Numerix CrossAsset into its proprietary platform for risk analysis, customized reporting and hedge advisory services – including proposals and structuring of hedging, financing and investment strategies. View case study case study HDFC Bank Market Risk Case Study Numerix provided HDFC Bank with the only third-party risk management solution flexible and scalable enough to meet its requirements, combined with a unique level of support provided by its dedicated Numerix Mumbai office. View case study case study Double No Touch and Other FX Option Strategies for Low Volatility Markets This case study covers various foreign exchange (FX) option strategies that take advantage of low volatility market conditions. Specifically, it explores the risks, benefits and mechanics of traditional strategies, such as straddles and strangles, but also focuses on and examines more advanced FX option strategies, such double no touch (DNT) options, European range bet (ERB) options and DNT options in emerging markets. View case study Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded 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. 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 podcast The Rise of AI Agents in Capital Markets In this thought-provoking episode, fintech innovator and AI evangelist Peter Swain joins host Jim Jockle to unpack the rise of agentic AI and its sweeping impact on capital markets. Listen to podcast podcast The Power Behind AI: Off-Grid, Zero-Water Data Centers Are Here In this episode, Yuval Bachar, the founder and CEO of EdgeCloudLink, unveils the infrastructure crisis behind AI. Listen to podcast podcast Exploring the Rise of Actively Managed Certificates (AMCs) In this episode, host James Jockle speaks with Rico Blaser and Stefan Wagner of vestr A.G., to examine the structure of AMCs, what’s driving market interest, and how evolving regulation and technology, including AI, are influencing adoption and use cases. Listen to podcast podcast Fighting Against Financial Crime with Jennifer Arnold In this episode host Jim Jockle sits down with Jennifer Arnold, co-founder and CEO of Minerva, to explore the future of compliance and the evolving role of technology in combating financial crime. Listen to podcast podcast How Technology is Driving Client Engagement in Financial Planning In this episode, Jim Jockle is joined by Patrick Spencer, Managing Director of Moneytree Software, to discuss how emerging technologies can and are reshaping the financial planning landscape. Listen to podcast podcast Unlocking AI's Power in Finance with Fawaz Chaudhry In this episode of Trading Tomorrow, we explore the groundbreaking ways artificial intelligence is reshaping finance with insights from Fawaz Chaudhry, the Head of Equities for Fulcrum Asset Management. Listen to podcast podcast The Digital Shift in Financial Advisory: Insights with Jud Mackrill In this Trading Tomorrow – Navigating Trends in Capital Markets episode, Jud Mackrill, Co-Founder and Managing Partner at Milemarker, reveals how data integration and cloud solutions are revolutionizing the wealth management landscape. Listen to podcast podcast Navigating AI and Financial Markets with Alvaro Cartea In this episode, host Jim Jockle sits down with Alvaro Cartea, Director of the Oxford-Man Institute of Quantitative Finance and Professor of Mathematical Finance at Oxford University. Listen to podcast podcast Navigating AI’s Role in Trading: Insights and Possibilities with iVest+ (Part 2) Part 2 of Rance Masheck, CEO of iVest+, and Chris Mercer, COO and Head of Business Development for iVest+. Listen to podcast Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded podcast Navigating AI’s Role in Trading: Insights and Possibilities with iVest+ (Part 1) In this episode, Jim Jockle dives into the transformative role of AI in trading. Joining him is Rance Masheck, CEO of iVest+, and Chris Mercer, COO and Head of Business Development for iVest+. Listen to podcast podcast Are Generative AI Agents a Game-Changer for Wealth Management? Join host Jim Jockle in an enlightening episode as he sits down with Kanishk Parashar, co-founder and CEO of Powder, a pioneer in AI-powered solutions for wealth management. Listen to podcast podcast Aligning Investments with Values: Jason Britton on ESG's Growing Significance Join host Jim Jockle in a captivating conversation with Jason Britton, Founder and CEO of Reflection Analytics as they explore the dynamic realm of ESG (Environmental, Social, and Governance) investing. Listen to podcast podcast The Impact of AI on Capital Markets with Bin Ren Unlock the future of finance with Bin Ren, Founder & CEO of SigTech, as he reveals the transformative potential of AI in capital markets. Listen to podcast podcast Debunking AI Myths: A Glimpse into Tech’s Future with Don Welch In this episode of the podcast, host Jim Jockle is joined by Don Welch, Vice President for Information Technology and Global University CIO at NYU. Together, they explore they discuss artificial intelligence. Listen to podcast podcast The Intersection of Hedge Funds and Cutting-Edge Tech with Serge Houles In this episode of the podcast, host Jim Jockle is joined bySerge Houles, the CEO of Tidan Capital. Together, they discuss the challenges and opportunities of rapid technological advancements in the financial sector. Listen to podcast podcast Cloud Technology's Role in Modern Banking: An Insider's Perspective In this episode of the podcast, host Jim Jockle is joined by Vishal Dalal, CEO for North America, Europe, and Asia at Pismo. Together, they explore the transformative power of cloud-native banking platforms. Listen to podcast podcast Navigating AI Adoption in Finance with Finpilot In this episode, host Jim Jockle is joined by co-founder and CEO of Finpilot, Lakshay Chauhan. Described as ChatGPT for financial questions, Finpilot uses AI to pull information out of unstructured financial data. Listen to podcast podcast Speeding up Capital Markets Through Quicker Capital Raising In this episode, host Jim Jockle is joined by Rodney Reisdorf, the CEO and Co-Founder of Verivend, dubbed the "Venmo of private capital.” Listen to podcast Pagination First page « First Previous page Previous Page 1 Current page 2 Page 3 Page 4 Next page Next Last page Last »
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
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
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
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
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
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
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
quantitative research Generalized Vanna-Volga Method and Its Applications In this article, we give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in application to pricing of contracts with European exercise on a single underlying. Read quantitative research
quantitative research Decoupled American Option Pricing Method: Computation of Implied Volatilities and Further Applications In this article, we introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal. Read quantitative research
quantitative research Dynamic Model for Pricing and Hedging Heterogenous CDOs In this article, we present a simple bottom-up dynamic credit model that can be calibrated simultaneously to the market quotes on CDO tranches and individual CDSs constituting the credit portfolio. Read quantitative research
quantitative research Analytical Formulas for Pricing CMS Products in the LMM with Stochastic Volatility In this paper, we develop a series of approximations for a fast analytical pricing of European constant maturity swap (CMS) products, such as CMS swaps, CMS caps/floors, and CMS spread options, for the LIBOR Market Model (LMM) with stochastic volatility. Read quantitative research
quantitative research Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption In this article, we develop a technique of parameter averaging and Markovian projection on a quadratic volatility model based on a term-by-term matching of the asymptotic expansions of option prices in volatilities. Read quantitative research
quantitative research Markovian Projection to a Displaced Volatility Heston Model In this article, we generalize the results of Markovian Projection onto a Heston model to a wider class of approximating models, a Heston model with displaced volatility. Read quantitative research
quantitative research Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt. Read quantitative research
quantitative research Markovian Projection onto a Displaced Diffusion In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes. Read quantitative research
quantitative research Markovian Projection Onto a Heston Model In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process. Read quantitative research
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
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
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
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
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
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
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
quantitative research Generalized Vanna-Volga Method and Its Applications In this article, we give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in application to pricing of contracts with European exercise on a single underlying. Read quantitative research
quantitative research Decoupled American Option Pricing Method: Computation of Implied Volatilities and Further Applications In this article, we introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal. Read quantitative research
quantitative research Dynamic Model for Pricing and Hedging Heterogenous CDOs In this article, we present a simple bottom-up dynamic credit model that can be calibrated simultaneously to the market quotes on CDO tranches and individual CDSs constituting the credit portfolio. Read quantitative research
quantitative research Analytical Formulas for Pricing CMS Products in the LMM with Stochastic Volatility In this paper, we develop a series of approximations for a fast analytical pricing of European constant maturity swap (CMS) products, such as CMS swaps, CMS caps/floors, and CMS spread options, for the LIBOR Market Model (LMM) with stochastic volatility. Read quantitative research
quantitative research Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption In this article, we develop a technique of parameter averaging and Markovian projection on a quadratic volatility model based on a term-by-term matching of the asymptotic expansions of option prices in volatilities. Read quantitative research
quantitative research Markovian Projection to a Displaced Volatility Heston Model In this article, we generalize the results of Markovian Projection onto a Heston model to a wider class of approximating models, a Heston model with displaced volatility. Read quantitative research
quantitative research Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt. Read quantitative research
quantitative research Markovian Projection onto a Displaced Diffusion In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes. Read quantitative research
quantitative research Markovian Projection Onto a Heston Model In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process. Read quantitative research
webinar Beyond Greeks: Multi-Factor Scenario Analysis for Convertible Bonds Joseph O’Reilly of Numerix provides a primer on scenario analysis specifically designed for convertible traders, so you can gain foresight – rather than hindsight – into how your portfolio will behave in different market regimes. Register Now
webinar Demystifying FX TARNs: From Pricing Challenges to Risk Management Join Anirban Chakraborty, Financial Engineer of Numerix as he demystifies FX TARNs. Gain valuable insights into their applications, explore the unique pricing challenges they present, and delve into the intricacies of its risk management. During the webinar, Anirban will also showcase Numerix's approach to navigating this structure effectively. Register Now
webinar Navigating Asia’s Structured Products Boom: Pricing, Risk, and Tools for Success Gain invaluable knowledge on navigating Asia’s booming structured products market. Learn powerful new strategies to overcome pricing complexities, adapt to evolving risk management practices, and leverage advanced tools to enhance operational efficiency. Register Now
webinar Make Data Sexy Again: Hard-Earned Insights from a Veteran Quant Market data might not sound glamorous, but its impact is critical. In this webinar, Ola Hammarlid, PhD, shares insight on market data management and its vital role in financial operations. Register Now
webinar Are Spreadsheets Dead? A Debate Amongst Market Practitioners Gain key insight into what the future holds for spreadsheet usage in finance and viable alternatives in our on-demand webinar. Register Now
webinar Charting Volatility: Strategic Insights on APAC Monetary Policy Divergence and Market Dynamics Discover how financial institutions are coping with market volatility and differing monetary policies across the APAC region. Register Now
webinar Investment Certificates & Innovation: An Intesa Sanpaolo & Numerix Case Study Join Alessandro Manini and Samuele Marafin of Intesa Sanpaolo, along with Martina Nicolao of Numerix as they discuss the investment certificate market and delve into how Numerix analytics were utilized by Intesa Sanpaolo to model new types of investment certificates. Register Now
webinar Algorithmic Differentiation for Greeks Stability and Fast Computation Discover how the Jacobian Greeks approach and Algorithmic Differentiation can revolutionize your Greeks calculations, making them faster and more accurate while overcoming the limitations of traditional methods. Register Now
webinar Adapting to the Ever-Evolving Financial Market with Innovative Technologies Learn about cutting-edge technologies and tools that are helping firms stay ahead in the APAC financial market. Register Now
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Side Join Andrea Allegra of Numerix as he discusses how XVAs pose both challenges and opportunities for practitioners at buy side firms. Register Now
webinar Monetary Policy Shifts: Gaining Market Visibility and Managing Risks In this video, Peter O’Connor from Numerix will perform a demo of FINCAD Analytics Suite from Numerix to showcase how this powerful, yet user-friendly derivatives analytics library can help users gain accurate market insights and identify new opportunities in today's dynamic market environment. Register Now
webinar Equity Volatility Surface Generation Join Dr. Ping Sun of Numerix as he covers key aspects of equity volatility surface generation and delves into practical issues and considerations. Register Now
webinar FX Accumulators: Payoffs, Pricing, & Risk Management using CrossAsset Learn more about FX Accumulators, including their payoffs, usage, pricing considerations, risks, and how Numerix CrossAsset can enhance Accumulator trading. Register Now
webinar Valuing Insurance Liabilities with Embedded Financial Guarantees Learn how Numerix CrossAsset can be used to value insurance products with benefits such as a Guaranteed Minimum Death Benefit (GMDB). Register Now
webinar Cloud Deployment Strategies for Financial Instrument Pricing & Risk Management Learn how leading financial institutions leverage Numerix’s cloud technology to solve strategic front and middle office challenges. Register Now
webinar Pricing Derivatives without Volatility Data: A Real-Life Emerging Markets Example Learn how to use advanced quantitative methods to construct a stable volatility surface in illiquid markets, including a live demo showcasing how Numerix CrossAsset can be utilized for this task. Register Now
webinar Real-time Risk Management in the Age of Dynamic Markets and Data A panel of experts delve into how recent operational overhauls are influencing numerical considerations and strategies for practitioners. Register Now
webinar Real-time Risk: How Practical Is It, and Is It Worth Striving For? A panel of experts discuss the ramifications of real-time risk metrics and real-time risk management. Register Now
case study Kerius Finance CrossAsset Risk Case Study Kerius Finance integrated Numerix CrossAsset into its proprietary platform for risk analysis, customized reporting and hedge advisory services – including proposals and structuring of hedging, financing and investment strategies. View case study
case study HDFC Bank Market Risk Case Study Numerix provided HDFC Bank with the only third-party risk management solution flexible and scalable enough to meet its requirements, combined with a unique level of support provided by its dedicated Numerix Mumbai office. View case study
case study Double No Touch and Other FX Option Strategies for Low Volatility Markets This case study covers various foreign exchange (FX) option strategies that take advantage of low volatility market conditions. Specifically, it explores the risks, benefits and mechanics of traditional strategies, such as straddles and strangles, but also focuses on and examines more advanced FX option strategies, such double no touch (DNT) options, European range bet (ERB) options and DNT options in emerging markets. View case study
podcast The Rise of AI Agents in Capital Markets In this thought-provoking episode, fintech innovator and AI evangelist Peter Swain joins host Jim Jockle to unpack the rise of agentic AI and its sweeping impact on capital markets. Listen to podcast
podcast The Power Behind AI: Off-Grid, Zero-Water Data Centers Are Here In this episode, Yuval Bachar, the founder and CEO of EdgeCloudLink, unveils the infrastructure crisis behind AI. Listen to podcast
podcast Exploring the Rise of Actively Managed Certificates (AMCs) In this episode, host James Jockle speaks with Rico Blaser and Stefan Wagner of vestr A.G., to examine the structure of AMCs, what’s driving market interest, and how evolving regulation and technology, including AI, are influencing adoption and use cases. Listen to podcast
podcast Fighting Against Financial Crime with Jennifer Arnold In this episode host Jim Jockle sits down with Jennifer Arnold, co-founder and CEO of Minerva, to explore the future of compliance and the evolving role of technology in combating financial crime. Listen to podcast
podcast How Technology is Driving Client Engagement in Financial Planning In this episode, Jim Jockle is joined by Patrick Spencer, Managing Director of Moneytree Software, to discuss how emerging technologies can and are reshaping the financial planning landscape. Listen to podcast
podcast Unlocking AI's Power in Finance with Fawaz Chaudhry In this episode of Trading Tomorrow, we explore the groundbreaking ways artificial intelligence is reshaping finance with insights from Fawaz Chaudhry, the Head of Equities for Fulcrum Asset Management. Listen to podcast
podcast The Digital Shift in Financial Advisory: Insights with Jud Mackrill In this Trading Tomorrow – Navigating Trends in Capital Markets episode, Jud Mackrill, Co-Founder and Managing Partner at Milemarker, reveals how data integration and cloud solutions are revolutionizing the wealth management landscape. Listen to podcast
podcast Navigating AI and Financial Markets with Alvaro Cartea In this episode, host Jim Jockle sits down with Alvaro Cartea, Director of the Oxford-Man Institute of Quantitative Finance and Professor of Mathematical Finance at Oxford University. Listen to podcast
podcast Navigating AI’s Role in Trading: Insights and Possibilities with iVest+ (Part 2) Part 2 of Rance Masheck, CEO of iVest+, and Chris Mercer, COO and Head of Business Development for iVest+. Listen to podcast
podcast Navigating AI’s Role in Trading: Insights and Possibilities with iVest+ (Part 1) In this episode, Jim Jockle dives into the transformative role of AI in trading. Joining him is Rance Masheck, CEO of iVest+, and Chris Mercer, COO and Head of Business Development for iVest+. Listen to podcast
podcast Are Generative AI Agents a Game-Changer for Wealth Management? Join host Jim Jockle in an enlightening episode as he sits down with Kanishk Parashar, co-founder and CEO of Powder, a pioneer in AI-powered solutions for wealth management. Listen to podcast
podcast Aligning Investments with Values: Jason Britton on ESG's Growing Significance Join host Jim Jockle in a captivating conversation with Jason Britton, Founder and CEO of Reflection Analytics as they explore the dynamic realm of ESG (Environmental, Social, and Governance) investing. Listen to podcast
podcast The Impact of AI on Capital Markets with Bin Ren Unlock the future of finance with Bin Ren, Founder & CEO of SigTech, as he reveals the transformative potential of AI in capital markets. Listen to podcast
podcast Debunking AI Myths: A Glimpse into Tech’s Future with Don Welch In this episode of the podcast, host Jim Jockle is joined by Don Welch, Vice President for Information Technology and Global University CIO at NYU. Together, they explore they discuss artificial intelligence. Listen to podcast
podcast The Intersection of Hedge Funds and Cutting-Edge Tech with Serge Houles In this episode of the podcast, host Jim Jockle is joined bySerge Houles, the CEO of Tidan Capital. Together, they discuss the challenges and opportunities of rapid technological advancements in the financial sector. Listen to podcast
podcast Cloud Technology's Role in Modern Banking: An Insider's Perspective In this episode of the podcast, host Jim Jockle is joined by Vishal Dalal, CEO for North America, Europe, and Asia at Pismo. Together, they explore the transformative power of cloud-native banking platforms. Listen to podcast
podcast Navigating AI Adoption in Finance with Finpilot In this episode, host Jim Jockle is joined by co-founder and CEO of Finpilot, Lakshay Chauhan. Described as ChatGPT for financial questions, Finpilot uses AI to pull information out of unstructured financial data. Listen to podcast
podcast Speeding up Capital Markets Through Quicker Capital Raising In this episode, host Jim Jockle is joined by Rodney Reisdorf, the CEO and Co-Founder of Verivend, dubbed the "Venmo of private capital.” Listen to podcast
