The Vol 5. No. 2 Issue of the Numerix Journal spotlights theoretical aspects of current and upcoming Numerix features. It begins with a discussion of MVA and Initial Margin requirements, and next looks at the Numerix implementation of the FX Joint Heston model. The issue also examines probability distributions of barrier hitting times, and includes a white paper on European swaption pricing methodology for the Hull-White two-factor model. Finally, the issue highlights Numerix’s implementation of an arbitrage-free volatility surface using a linear programming formulation.

The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on quantitative finance and financial software. The goal of the Journal is to serve as a forum for the introduction of new research, modeling methodologies, and presentation of performance and benchmark studies.


Editor's Note


MVA: Future IM for Client Trades and Dynamic Hedges

Joint Heston Model for Cross-Currency Pricing

Probability Distributions for Barrier Hitting Times

The Hull-White Two Factor Model: Two Equivalent Formulations and Numerix's Approach to Swaption Pricing

LP Volatility Surface


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