Numerix recognized as Call for Paper Winner at QUANT Congress Europe 2009
Numerix, (www.numerix.com) the leading independent provider of cross- asset analytics for the structuring, valuation and risk analysis of derivatives and structured products, announced today that Numerix has developed a series of new approximations for the fast analytical pricing of European constant maturity swap (CMS) products and has been selected as one of this year’s Call for Papers winners at QUANT Congress Europe 2009. According to event organizers, this year’s winners have displayed great depth in innovative modeling and stress testing.
The winning Numerix Call for Papers submission was entitled – “Analytical formulas for pricing CMS products in the Libor Market Model with the stochastic volatility”
Numerix’s Alexander Antonov, svp Quantitative Research and Matthieu Arneguy, Quantitative Analyst, have developed a series of approximations for a fast analytical pricing of European constant maturity swap (CMS) products, such as CMS swaps, CMS caps/floors, and CMS spread options, for the LIBOR Market Model (LMM) with stochastic volatility, as well as model calibration to the market, including European swaptions and CMS products. The work was done in joint collaboration and was presented during the week of the QUANT Congress in London from 3 to 5, November 2009.
Alexander Antonov, SVP Quantitative Research comments, “we are pleased to be able to share our latest work formulas for pricing CMS products in the Libor Market Model at this conference. I am very happy and proud that we can contribute to the advancements of science in the field of mathematical finance.”
Steven R. O’Hanlon, president and coo of Numerix stated that, “being selected as one of the winning papers at this year’s conference represents tremendous peer recognition for Alexander, Matthieu and for Numerix. I am grateful to both Alexander and Matthieu for their contribution.”
QUANT Congress Europe is widely recognized as the meeting point for academics and practitioners in the quantitative finance community and is designed to shed new light on the models and strategies gaining importance in extreme market conditions.
