Numerix Counterparty RIsk Research & Insights

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...
Risk isn’t just about numbers. It’s also about human nature. Financial institutions must have the courage to...
Recently, we added the Bates stochastic volatility jump-diffusion model to the Numerix CrossAsset model library....

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...

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