Numerix Introduces New Volatility Framework for CrossAsset

numerix-creditrisk-msp-7211
Steven O'Hanlon, center

The analytics provider says the new framework can also be employed by hedge funds to match market prices with near instantaneous calibration, and can be used for a range of different options types that can be combined with barriers. It can also be used to complete quantitative modeling that measures or determines fractional difference among local and stochastic volatility, with or without jumps.

“We have put a great focus on ensuring that the Numerix model library and pricing architecture can scale in enterprise risk systems, and we continue to allocate much strategic bandwidth in this area. We’re excited to bring this new functionality to market further enabling a consistent pricing framework that spans a wide range of standard technology platforms and asset classes, fostering transparency throughout the market," says Steven O’Hanlon, CEO and President of Numerix. 

The underlying methodology for the framework is based on a modern finite difference approach pioneered by Dr. Andrey Itkin and Dr. Peter Carr.

  • LinkedIn  
  • Save this article
  • Print this page  

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe

You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: