Numerix Counterparty RIsk Research & Insights

Nov 5, 2010
On November 2nd, Numerix hosted a complimentary webinar led by Senior Quantitative Analyst, Olga Us, discussing...
Sep 24, 2010
You know changes are coming. You know they’re going to be big. What do you do while you wait?
And how do you...
Jun 24, 2010

As SIFMA winds down today at the NY Hilton, it’s clear that risk is still at the forefront of everyone’s mind—and...
Apr 27, 2010
Yesterday, attendees at the A-Team Insight Exchange 2010 here in New York were witness to a lively and informative...
Apr 14, 2010
Following up our post on LIBOR Market Models in Numerix, I thought it would be valuable to show how the...
Apr 13, 2010
Continuing our series on the use of advanced models (see The Bates Model), today we address the issue of pricing...
Apr 5, 2010
Risk isn’t just about numbers. It’s also about human nature. Financial institutions must have the courage to...
Mar 8, 2010
Recently, we added the Bates stochastic volatility jump-diffusion model to the Numerix CrossAsset model library....
Jun 25, 2009

In this article,we introduce a method for volatility computation from listed prices of American options on a un-...
Jan 1, 2009

In this paper, we develop a series of approximations for a fast analytical pricing of European constant maturity...

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