The Vol 4. No. 2 Issue of the Numerix Journal, presents a collection of the latest Numerix research across several areas. It begins with our latest work on SABR and later features a second article that puts Numerix contributions to SABR into context. The issue also introduces work on an efficient SIMM-MVA approach for callable exotics, as well as an extension of Carr-Pelts work on volatility surface. Lastly, the issue highlights MasterMind, a powerful module within our Oneview Asset Management solution that offers users real-time portfolio analytics and the ability to customize calculation results.
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
Editors Note
ARTICLES
Mixing SABR Models for Negative Rates
Efficient SIMM-MVA Calculations for Callable Exotics
Generalized Carr-Pelts Volatility Surface
Featured Articles on Numerix Products and Services
Charting the Flightpath of SABR at Numerix
MasterMind in Numerix Oneview Asset Management
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