May 22, 2015
In the Vol. 2 No. 1 Issue of the Numerix Journal, we propose an approach to dealing with negative rates in the SABR model, explore martingale and distribution tests for the LMM, "Hot-Start" Initialization of the Heston model, and the implementation...
Journal Issue
Dec 1, 2014
In the Vol. 1 No. 2 Issue of the Numerix Journal, we cover XVAs, the martingale test, Numerix LSV model, and structured note annuities.     

The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on...
Journal Issue
Apr 27, 2014
In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation.                    ...
Journal Issue