More Numerix Quantitative Research

Nov 1, 2013
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In this research paper by the Numerix Quantitative...
Aug 1, 2013
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Traditional methods for the stochastic alpha beta rho model tend to...
Mar 29, 2013
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In this article, we propose a new framework for...
Oct 11, 2012
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In this article we present an efficient...
Apr 12, 2012
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In this article, we develop the algorithmic...
Mar 23, 2012


In this paper, authors Alexander Antonov, PhD, and Michael Spector, PhD, present advanced analytical...
May 1, 2010

In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general...
Jun 25, 2009

In this article,we introduce a method for volatility computation from listed prices of American options on a un-...
Jun 25, 2009

In this article, we give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in...
May 6, 2009

In this article, we present a simple bottom-up dynamic credit model that can be calibrated simultaneously to the...

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