More Numerix Quantitative Research

May 6, 2009

In this article, we present a simple bottom-up dynamic credit model that can be calibrated simultaneously to the...
Jan 1, 2009

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

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