Numerix Pricing & Valuation Research & Inisights

Written By Guest Blogger, Keith Styrcula--Chairman, Structured Products Association
By all measures, the...
Held in New York City on November 2nd and 3rd, the 16th annual flagship conference—Risk USA 2010—provided up-to-...
On November 2nd, Numerix hosted a complimentary webinar led by Senior Quantitative Analyst, Olga Us, discussing...

The following article is based on a webinar presented on September 22, 2010, by Jon Zucker, Ph.D. – VP Client...
Following up our post on LIBOR Market Models in Numerix, I thought it would be valuable to show how the...
Continuing our series on the use of advanced models (see The Bates Model), today we address the issue of pricing...
Recently, we added the Bates stochastic volatility jump-diffusion model to the Numerix CrossAsset model library....

Transparency is on everyone’s minds these days, particularly for complex derivatives. At Numerix, we work with a...

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

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

Pages