Can a centenarian maths idea speed up the calculation of forward sensitivities?
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
In this paper, the authors propose a bivariate interpolation of the implied volatility surface based on Chebyshev polynomials. This yields a closed-form approximation of the implied volatility, which is easy to implement and to maintain.
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, discusses the scope of the transition from Libor to alternative reference rates – also known as risk-free rates (RFRs), including their…
Risk Awards 2017: Clever approach to options pricing buoyed UK bank during Brexit uncertainty
Banks weighing up move to non-interpolated standard to cut capital costs
In this paper the authors present an efficient convergent lattice method for Asian option pricing with superlinear complexity.
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
Trust is good, control is better – Complex model validation
Filling the gaps