In the Vol. 2 No. 1 Issue of the Numerix Journal, we propose an approach to dealing with negative rates in the SABR model, explore martingale and distribution tests for the LMM, "Hot-Start" Initialization of the Heston model, and the implementation of real-world and negative rates features in Numerix solutions.     
    

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

ARTICLES

The Free-Boundary SABR: Natural Extension to Negative Rates

Martingale and Distribution Tests for the Libor Market Model

"Hot-Start" Initialization of the Heston Model

Featured Articles on Numerix Products and Services

Negative Rates: The Challenge and the Opportunity

Numerix Real-World Modeling

 

 

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journal issue

Numerix Journal Vol. 1, No. 2