Advisory Board established to further the standardization and advancement of pricing and risk for OTC derivatives market

New York, NY - April 27, 2010 - Numerix (, the leading provider of cross-asset analytics for derivatives valuations and risk management, today announced that Dr. Alan Brace, co-developer of the BGM model, has joined the Numerix Quantitative Advisory Board.

Dr. Brace, is a co-author of the Brace-Gatarek-Musiela (BGM) model, also known as the Libor market model (LMM), which was proposed in a paper "The market model of interest rate dynamics" published in 1997(1) . The BGM model represents the standard widely used in the market for pricing, calibrating and hedging interest rate derivatives. Dr.  Brace is also an Adjunct Professor at The University of Technology, Sydney (UTS) and a Senior Quantitative Analyst in Market Risk at National Australia Bank (NAB).

“I would like to personally welcome Dr. Brace as a member of the Advisory Board,” said Steven R. O'Hanlon, President and COO at Numerix. “Through our strategic positioning in the industry, Numerix has been able to work closely with some of the most progressive leaders in quantitative research in the largest financial institutions globally.  To have Dr. Brace join the Advisory Board is an honor and a privilege.”

“The quantitative research that Dr. Brace has done is truly groundbreaking,” said Dr. Serguei Issakov, Senior Vice President of Quantitative Research & Development at Numerix. “The Libor market model introduced a new concept into the modeling of interest rate derivatives. It models the dynamics of the Libor rates that are directly observable in the market – which explains the modern name of the model – as opposed to instantaneous rates, which had been used before, which are not directly observable and can be related to the market rates only approximately, in a certain limit. Operating with observable rates makes the dynamics of the model as well as the calibration of the model (determination of the parameters of the model from market data) more accurate and also makes interpretation of the results more transparent and intuitive. The idea of market models proved to be very powerful and has since been extended to other asset classes, such as Inflation and Commodities. We look forward to having Dr. Brace as a member of the Advisory Board.”

“It is a tremendous honor to be named as a member of the advisory board,” said Dr. Brace. “Our board mandate will be one that is designed to further the quantitative model transparency and understanding that is needed in today’s global OTC derivatives markets and to also facilitate the increased interaction among academics and industry professionals.”

Dr. Brace goes on to say, “Numerix is the kind of financial software package that most users can benefit from.  As well as providing traditional models, it contains many models close to the cutting edge on which consensus has been reached, bugs ironed out, and calibration issues sorted. So for example, UTS students in the Masters of Quantitative Finance degree program where Numerix is used, can not only practice on industrial strength software, but are also assured of a disciplined framework in which to learn the mathematics of appropriate and up-to-date models.”

Dr. Brace represents the first member to be appointed to the Numerix Quantitative Advisory Board. The Advisory Board creates an industry leadership forum comprised of the “top professional minds” from quantitative research across the academic and financial services industry at large. The advisory board will also seek to promote professional interaction between renowned academics, researchers and Numerix.

Numerix provides the industry’s most sophisticated cross asset pricing platform for traders, quants and risk managers of derivatives and structured products. Numerix allows users to structure complex derivatives using a proprietary scripting language and price them using a wide range of model and calibration options. 

 1. A. Brace, D. Gatarek, M. Musiela, The Market Model of Interest Rate Dynamics, Mathematical Finance, 1997, Vol. 7, No. 2, pp. 127-155. For more details on Libor Market Models, see a post on Numerix blog: LIBOR Market Models for Smile-Dependent Exotics.

About Numerix

Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. 

Since its inception in 1996, more than 400 financial institutions and 45 partners across 27 countries rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments.  With offices in New York, London, Tokyo, Hong Kong, Singapore and Dubai, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines.  For more information, please visit

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Todd Swearingen
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