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Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management, is hosting a complimentary webinar covering its new inflation market models on Tuesday, September 13th at 9:30 am EDT.
In the post-credit crisis environment, the newly introduced inflation models will help capture the volatility that standard approaches didn’t address in the past. The last few years have seen a deepening of liquidity in the inflation derivative markets both in terms of longer maturities being traded and non-ATM strikes becoming far more liquid. A wider range of cap/floor strikes including those struck at non-zero strikes, are now available with maturity ranging up to 10 years and sometimes even longer. As a result, modeling the smile and capturing the stochastic nature of volatility has become critically important for inflation derivatives trading.
In order to address the growing market appetite for inflation derivatives globally—whether for hedging or investment opportunity—Numerix CrossAsset’s implementation of the Inflation Market Models enables investors to accurately price a wider range of inflation derivatives, including: Inflation Swaps (Zero Coupon and Year-on-Year Swaps), Inflation-linked Bonds and Inflation Caps & Floors. The new models enable calibration to Zero Coupon Inflation Swaps and Inflation Caps & Floors, as well as capturing the Volatility Smile.
Numerix will host a webinar on Tuesday, September 13th at 9:30 am EDT to discuss these new Inflation Market Models, and to demonstrate implementation and model validation.
Featured Speakers Will Include:
James Jockle, Senior Vice President, Marketing
Dr. Andrei Lopatin, Vice President, Quantitative Research & Development
Jie Zhu, Senior Financial Engineer
To register for this complimentary webinar, go to:
Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Numerix offers clients a highly flexible and fully transparent framework for the pricing and risk analysis of any type of OTC derivative financial instrument. From vanillas and "semi-exotics" to bespoke derivatives, structured products and variable annuities, Numerix allows users to calculate prices and manage risk using any data set.
Since its inception in 1996, over 700 clients and 50 partners across more than 25 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in Australia, Beijing, Chicago, Dubai, Hong Kong, India, London, New York, Paris, Singapore, South Korea and Tokyo, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines.