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today we address the issue of pricing complex trades that are heavily dependent on the volatility smile, such as CMS, LIBOR-linked structures and hybrids. For these exotics, the Numerix includes a suite of LIBOR Market Models (LMM), with support for stochastic volatility, which is required to calibrate to the entire volatility surface. To understand why this model is necessary, let’s look at recent advances in market models for pricing interest-rate derivatives. Tracing the Evolution of the LMM In 1997, Brace, Gatarek and Musiela  introduced the BGM model—a standard formulation of the LIBOR market model using a lognormal ...
Have you ever witnessed an upset? Watched as the heavily favored team lackadaisically meandered through a game, while the “wunderdogs” played hard on every play, eventually winning enough points, having enough plays fall in their favor to win the game? If you were a fan of the favorites, you walked away saddened, perplexed, and maybe even angry. Your team was said to be the “expert” heading into this match. They were the Goliath. They had more experience. They were bigger. They were taller. They were even said to be smarter than their opponent. But something ... Read More
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