Resources

Dr. Ion Mihai, explores how negative interest rates have recently become a critically important issue in finance.

In this paper, authors Alexander Antonov, PhD, and Michael Spector, PhD, present advanced analytical formulas for SABR model option pricing.

Drs. Alexandre Antonov, Serguei Issakov and Serguei Mechkov generalize the American Monte Carlo method to efficiently calculate future values (or exposures) of derivatives using an arbitrage-free model.

In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models.

In this research paper, Dr. Serguei Mechkov examines the Heston model.

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.

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.

Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’.

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.

In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps.