With an advanced library of single- and multi-factor models and an infinitely flexible architecture for defining bespoke deals, Numerix allows you to deploy a unified pricing and risk solution for all your OTC positions across all trade types. As a result of our cross-asset expertise, many of the world’s largest derivatives trading, risk and order management systems have partnered with Numerix to offer their clients enhanced coverage for complex deals.
Explore individual asset classes on the left for more information about specific models and types of instruments covered.
The Industry’s Only Independent Solution for Hybrids
Through our experience in cross-asset modeling, the Numerix quantitative research team has developed a unique hybrid model framework that produces accurate valuations for instruments consisting of multiple underlyings, such as structured notes and variable annuities. This process requires a market-consistent representation of correlation among underlyings, which we achieve through a joint calibration that incorporates multiple stochastic processes.
Constructing a Hybrid Model
The user selects the best model for each underlying
Each “component” model is individually calibrated before being added to the hybrid framework
The user specifies a correlation matrix that links each volatility factor
A joint calibration is applied when the hybrid model is built
The Numerix Hybrid Model Framework
Select desired models based on underlyings, and use them as building blocks for the hybrid model
Examples of Covered Instruments
Mixed basket deals containing underlyings from multiple asset classes
Hybrid products of any complexity, with arbitrary payoff and any underlyings covered by the Numerix model library