Options for Collateral Options
Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time.
Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More
Numerix expert Dan Li discusses how vanilla derivative valuations have become very complex, and how to deal with this new complexity. Register to view On-Demand.
Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives
Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting. Register to view On-Demand.
The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics
This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts.
Advanced OIS Discounting - Building Proxy OIS Curves When OIS Markets are Illiquid or Nonexistent
Dr. Ion Mihai discusses how to build proxy OIS curves from available market information in currencies where the OIS market is not well developed. Register to view On-Demand.
Funding Value Adjustment for General Financial Instruments: Theory and Practice
This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level.
Mastering Model Risk: Assessment, Regulation and Best Practices
In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk.
Advanced OIS Curve Building Approaches: Improving Accuracy at the Short End of the Curve
Numerix featured speaker Mark Hadley discusses ways derivative market practitioners can enhance the bootstrapping process for the short end of OIS curves, and how these approaches will become more important as rates rise.
SABR Spreads Its Wings
Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’.
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Considering Stochastic Mortality in Pricing Variable Annuities: Applications of the Lee Carter Model
This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities.
Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice
In this white paper, Numerix VP and Insurance Product Manager Ghali Boukfaoui, explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG).
USLV: Unspanned Stochastic Local Volatility Model
In this article, we propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives.
A Quantitative Look at FVA - Theory and Implementation
Many practitioners have found developing and implementing an accurate FVA framework challenging both theoretically and practically. Join Numerix on 2/28 for a quantitative discussion with Dr. Alexandre Antonov, SVP, Quantitative Research, as he reviews current FVA theory and outlines a new universal FVA framework. Register to view On-Demand.
Breaking Black: The Hybrid Nature of Investment Guarantees
Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand.
Economic Scenario Generation: Risk Neutral Modeling in Theory and Practice
Numerix webinar Replay discussing Risk Neutral Economic Scenario Generation. Will cover foundations of Risk Neutral Theory, Hybrid Framework and Joint Calibration approaches and Advanced Indicies Generation. Register to view On-Demand.
Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization
In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps.
Double No Touch and Other FX Option Strategies for Low Volatility Markets
This case study covers various foreign exchange (FX) option strategies that take advantage of low volatility market conditions. Specifically, it explores the risks, benefits and mechanics of traditional strategies, such as straddles and strangles, but also focuses on and examines more advanced FX option strategies, such double no touch (DNT) options, European range bet (ERB) options and DNT options in emerging markets.
Deciphering FVA: Understanding, Modeling and Using Funding Value Adjustment
Webinar discussing Funding Value Adjustment (FVA) and its role in derivative valuations, trading, and liquidity management.