More Numerix Quantitative Research

Mar 10, 2020
Neural Networks with Asymptotics Control
Artificial Neural Networks (ANNs) have recently been suggested for use in...
Dec 6, 2019
STIRs and OIS Futures in the Hull-White Model
This paper derives exact formulas and their simple approximations...
Sep 10, 2019

MVA: Future IM for client trades and dynamic hedges
New client trades affect banks’ hedging portfolios. This may...
Sep 6, 2018
Efficient SIMM-MVA Calculations for Callable Exotics
Margin valuation adjustment for callable trades subject to...
Jan 31, 2018
Price sensitivities to risk factors, otherwise known as Greeks, have recently been just as challenging to...
Sep 27, 2017
Efficient SIMM-MVA Calculations for Callable Exotics - See more at: https://www.numerix.com/quantitative-research-...
Dec 15, 2016
We generalize the algorithmic differentiation method proposed by Antonov (2016) from price Greeks to XVA Greeks....
Nov 4, 2016
In this article, we study the algorithmic calculation of present values greeks for callable exotic instruments....
Nov 30, 2015
In this Cutting Edge research article published in the November 2015 Issue of Risk Magazine, Drs Alexandre Antonov...
Oct 27, 2015
We suggest a new way of setting up multifactor models with hidden variables. We claim that the standard initial...

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