More Numerix Quantitative Research

Jun 16, 2008


In this article, we develop a technique of parameter averaging and Markovian projection on a quadratic...
Mar 12, 2008


Markovian Projection is an optimal approximation of a complex underlying process with a simpler one,...
Aug 29, 2007


In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model...
Aug 29, 2007


In this paper, we develop a systematic approach to Markovian projection onto an effective displaced...
Jun 27, 2007


In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled...
Oct 10, 2006


In this article, we revisit the cross-currency LIBOR Market Model armed with the technique of Markovian...
Oct 17, 2005


In this article, we present an accurate analytical approximation for a joint distribution function of loss...
May 23, 2005


In this article, we present pricing and risk management of synthetic CDOs and risk management of credit...
Feb 19, 2004


In this paper authors Alexander Antonov and Han Lee present a discrete framework on event time grid for a...

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