analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
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Read Blog white paper MiFID II and Real-Time Technology Fortify Electronic Trading in OTC Markets MiFID and technologies are leading to a rise in electronic trading, this paper explores the impacts for market makers. Read white paper white paper LIBOR: Its Astonishing Ride and How to Plan for Its End Explaination of what's important when preparing for 2021 Read white paper quantitative research Risk Magazine Cutting Edge Research Article | Pathwise XVA Greeks for Early-Exercise Products Using a new Numerix technique, Greeks can be computed almost as quickly as the time it takes to price the derivatives. Read quantitative research blog Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? In this blog, James Jockle, Chief Marketing Officer, shares the insights of a data science visionary, who, through his research and thought-provoking analysis of AI, arrives at an answer to the critical trust question. Read Blog article Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? Artificial intelligence technologies have undergone a rapid evolution in recent years and have sparked significant interest among firms in multiple industries. Read article webinar The End of LIBOR: Implications and Preparing for 2021 Liang Wu of Numerix explored how LIBOR met its timely end, the decision’s impacts and how market participants should prepare for the 2021 decommission of the prominent benchmark. Register Now journal issue Numerix Journal Vol. 4 No. 2 The Vol. 4 No. 2 issue presents a collection of the latest Numerix research across several areas. It begins with our latest work on SABR and later features a second article that puts Numerix contributions to SABR into context. The issue also introduces work on an efficient SIMM-MVA approach for callable exotics, as well as an extension of Carr-Pelts work on volatility surface. Lastly, the issue highlights MasterMind, a powerful module within our Oneview Asset Management solution that offers users real-time portfolio analytics and the ability to customize calculation results. Read journal issue quantitative research Efficient SIMM-MVA Calculations for Callable Exotics This paper introduces a method which avoids nested calls to the pricing function, similar to the use of least-squares Monte Carlo (LSMC) for producing future exposures. Read quantitative research Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded webinar MVA: Rationale and Practical Calculations as Margining Rules Tighten Numerix Director of Quantitative Research, Andrew McClelland, Ph.D., explained the pricing and profitability impacts of this shift for banks, explored some of the complexities posed by initial margin requirements and the margining processes for cleared and non-cleared trades. Register Now white paper The Rise of xVA and How It Transformed an Entire Industry In this white paper, Satyam Kancharla, Chief Strategy Officer at Numerix, brings to light how xVAs have become the posterchild for risk-informed decision making and the key to unlocking trade profitability across capital markets. Read white paper white paper Finding Flow: The Case for Electronification in OTC Markets, Its Evolution and Its Future in Illiquid Markets The financial services industry has been in a state of rapid flux ever since the first of a series of critical reforms were implemented, namely Dodd-Frank, in 2010, as well as because of the onset of disruptive technologies and new set of competitors emerging from the fintech industry. Read white paper journal issue Numerix Journal Vol. 4 No. 1 *SPECIAL ISSUE- FRTB * The Vol. 4 No. 1 issue focuses on FRTB (the Fundamental Review of the Trading Book). In this issue, we include four Fundamental Review of the Trading Book papers, each exploring a different aspect of FRTB. The papers selected break down the underlying regulatory requirements, explain the implementation challenges, analyze the differences between IMA and SA, and look at the credit valuation adjustment (CVA) and initial margin frameworks. Read journal issue white paper FRTB: The Technology Considerations and What You Need to Know FRTB will manifestly change the way banks run their trading business; banking infrastructure must rise to new demands. With band-aided, legacy systems becoming costly to adapt and falling short, this paper helps banks to better understand the technology architecture needed to meet the new flexibility, agility, scalability and computational requirements. Read white paper white paper The Fundamental Review of the Trading Book: Key Challenges and Implementation Headaches Franck Rossi, Director of Product Management at Numerix, discusses the challenges presented by FRTB - from increasing capital requirements to P&L Attribution to IT review. In this paper, he explores what banks can do to adequately prepare. Read white paper quantitative research PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation We generalize the algorithmic differentiation method proposed by Antonov (2016) from price Greeks to XVA Greeks. Read quantitative research journal issue Numerix Journal Vol. 3 No. 2 *SPECIAL ISSUE- CURVES & CURVE CONSTRUCTION * In the Vol 3 No 2 special edition of the Numerix Journal, we present three papers on curve-related topics, including multi-curve methods. We conclude with an article introducing Numerix multi-curve functionality, both current and planned. Read journal issue white paper FRTB's Sensitivity Based Approach: Methodology, Procedure and Business Impact Franck Rossi, Director of Product Management at Numerix, discusses the challenges presented by FRTB - from increasing capital requirements to P&L Attribution to IT review. In this paper, he explores what banks can do to adequately prepare. 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blog Putting Quantitative Innovation into Focus for XVAs Managing xVAs is complex, and that complexity is growing as banks extend xVA to reflect new costs, such as those associated with posting initial margin, or to more-accurately reflect the costs of capital utilization. Read Blog
white paper MiFID II and Real-Time Technology Fortify Electronic Trading in OTC Markets MiFID and technologies are leading to a rise in electronic trading, this paper explores the impacts for market makers. Read white paper
white paper LIBOR: Its Astonishing Ride and How to Plan for Its End Explaination of what's important when preparing for 2021 Read white paper
quantitative research Risk Magazine Cutting Edge Research Article | Pathwise XVA Greeks for Early-Exercise Products Using a new Numerix technique, Greeks can be computed almost as quickly as the time it takes to price the derivatives. Read quantitative research
blog Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? In this blog, James Jockle, Chief Marketing Officer, shares the insights of a data science visionary, who, through his research and thought-provoking analysis of AI, arrives at an answer to the critical trust question. Read Blog
article Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? Artificial intelligence technologies have undergone a rapid evolution in recent years and have sparked significant interest among firms in multiple industries. Read article
webinar The End of LIBOR: Implications and Preparing for 2021 Liang Wu of Numerix explored how LIBOR met its timely end, the decision’s impacts and how market participants should prepare for the 2021 decommission of the prominent benchmark. Register Now
journal issue Numerix Journal Vol. 4 No. 2 The Vol. 4 No. 2 issue presents a collection of the latest Numerix research across several areas. It begins with our latest work on SABR and later features a second article that puts Numerix contributions to SABR into context. The issue also introduces work on an efficient SIMM-MVA approach for callable exotics, as well as an extension of Carr-Pelts work on volatility surface. Lastly, the issue highlights MasterMind, a powerful module within our Oneview Asset Management solution that offers users real-time portfolio analytics and the ability to customize calculation results. Read journal issue
quantitative research Efficient SIMM-MVA Calculations for Callable Exotics This paper introduces a method which avoids nested calls to the pricing function, similar to the use of least-squares Monte Carlo (LSMC) for producing future exposures. Read quantitative research
webinar MVA: Rationale and Practical Calculations as Margining Rules Tighten Numerix Director of Quantitative Research, Andrew McClelland, Ph.D., explained the pricing and profitability impacts of this shift for banks, explored some of the complexities posed by initial margin requirements and the margining processes for cleared and non-cleared trades. Register Now
white paper The Rise of xVA and How It Transformed an Entire Industry In this white paper, Satyam Kancharla, Chief Strategy Officer at Numerix, brings to light how xVAs have become the posterchild for risk-informed decision making and the key to unlocking trade profitability across capital markets. Read white paper
white paper Finding Flow: The Case for Electronification in OTC Markets, Its Evolution and Its Future in Illiquid Markets The financial services industry has been in a state of rapid flux ever since the first of a series of critical reforms were implemented, namely Dodd-Frank, in 2010, as well as because of the onset of disruptive technologies and new set of competitors emerging from the fintech industry. Read white paper
journal issue Numerix Journal Vol. 4 No. 1 *SPECIAL ISSUE- FRTB * The Vol. 4 No. 1 issue focuses on FRTB (the Fundamental Review of the Trading Book). In this issue, we include four Fundamental Review of the Trading Book papers, each exploring a different aspect of FRTB. The papers selected break down the underlying regulatory requirements, explain the implementation challenges, analyze the differences between IMA and SA, and look at the credit valuation adjustment (CVA) and initial margin frameworks. Read journal issue
white paper FRTB: The Technology Considerations and What You Need to Know FRTB will manifestly change the way banks run their trading business; banking infrastructure must rise to new demands. With band-aided, legacy systems becoming costly to adapt and falling short, this paper helps banks to better understand the technology architecture needed to meet the new flexibility, agility, scalability and computational requirements. Read white paper
white paper The Fundamental Review of the Trading Book: Key Challenges and Implementation Headaches Franck Rossi, Director of Product Management at Numerix, discusses the challenges presented by FRTB - from increasing capital requirements to P&L Attribution to IT review. In this paper, he explores what banks can do to adequately prepare. Read white paper
quantitative research PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation We generalize the algorithmic differentiation method proposed by Antonov (2016) from price Greeks to XVA Greeks. Read quantitative research
journal issue Numerix Journal Vol. 3 No. 2 *SPECIAL ISSUE- CURVES & CURVE CONSTRUCTION * In the Vol 3 No 2 special edition of the Numerix Journal, we present three papers on curve-related topics, including multi-curve methods. We conclude with an article introducing Numerix multi-curve functionality, both current and planned. Read journal issue
white paper FRTB's Sensitivity Based Approach: Methodology, Procedure and Business Impact Franck Rossi, Director of Product Management at Numerix, discusses the challenges presented by FRTB - from increasing capital requirements to P&L Attribution to IT review. In this paper, he explores what banks can do to adequately prepare. Read white paper
