The Vol 8. No. 1 issue of the Numerix Journal presents some of Numerix's recent quantitative research and development achievements. Many of these achievements have been implemented as new functionality in our products. With the ongoing R&D effort at Numerix, this collection of papers showcases the quality of the research on various topics of interest in the field. Readers get an update on the latest progress in the theoretical research and product enhancements at Numerix.

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


Generalized Libor Market Model for Backward-Looking Rates

Encapsulating Commodity Models in the Andersen Model Framework

Calibration of the Gabillon Model to Historical Commodity Swap Rate Correlations

Algorithmic Differentiation Greeks for Bonds in the Gaussian Hybrid Model

In Memory of Michael Spector


NXPT Market Reports

Turbocharging XVA Greeks with AD using PyTorch


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