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.                    

The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on quantitative finance and financial software. The goal of the Journal is to serve as a forum for the introduction of new research, modeling methodologies, and presentation of performance and benchmark studies.


TABLE OF CONTENTS

NOTE

Foreword from our CEO

ARTICLES

Dilemmas in the Multiple-Curve Approach

Funding Valuation Adjustment for General

Financial Instruments: Theory and Practice

Primer: Curve Stripping with Full Collateralization

American Monte Carlo: Simulation Technology for Accuracy and Performance

Numerix Model Validation Testing

CrossAsset Server Product Review
 

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white paper

The Rise of xVA and How It Transformed an Entire Industry

newsletter issue - Sep 14, 2017

Derivative Insights & Innovations - September 2017 Issue

white paper

Finding Flow: The Case for Electronification in OTC Markets

conference

The 13th Fixed Income Conference 2017

conference, industry conference

Investment Solutions Forum 2017

white paper

New Best Practices for Operating in Today's Capital Markets Reality

product collateral

Numerix Oneview Enterprise Platform

solutions

Fund Services Solutions

industry conference

FRTB Implementation Summit Europe 2017

industry conference

FRTB Implementation Summit 2017

industry conference

CBOE 2017 - 33rd Annual Risk Management Conference

newsletter issue - Feb 9, 2017

Derivative Insights & Innovations - February 2017 Issue