Derivatives and fixed income finance is growing ever more complex, requiring a deepening understanding of financial instruments, market conditions, and quantitative models. At Numerix, we provide insightful resources and expertise designed to help you navigate the complexity.
In this week’s blog, we are offering you access to an insightful technical series, featuring three must-watch sessions from Numerix that delve into complex and dynamic areas of finance. Discover how to price derivatives without relying on volatility data, explore the intricacies of valuing and hedging FX options, and gain an understanding of valuing insurance liabilities with embedded financial guarantees. Access this valuable resource series through the links below.
Part 1: Pricing Derivatives without Volatility Data: A Real-Life Emerging Markets Example
In financial markets, the ability to accurately assess and navigate volatility is crucial for success. This is especially true in illiquid markets, where price movements can be more abrupt, unpredictable and even unobserved. But when pricing derivatives in emerging markets, the lack of volatility data can cause significant challenges.
Join Dr. Christopher Liu of Numerix as he delves into traditional methods of modeling volatility, as well as approaches that Numerix has integrated into its products, using a case study from the Greater China market.
Part 2: Valuation & Hedging of FX Options
While foreign exchange (FX) options have been available in the financial markets for decades, valuing and hedging these instruments can still be somewhat challenging, especially for exotic options. For vanilla and some semi-exotic options, replicating the option’s payoff via vanilla instruments can simplify pricing and risk calculations. For complex options, however, replication is not always practical.
Listen in as Dr. Ping Sun of Numerix provides a primer on the best practices and key issues for practitioners to consider when valuing and hedging FX options.
Part 3: Valuing Insurance Liabilities with Embedded Financial Guarantees
Many insurance firms offer insurance products with optional living and death benefits, which are attractive to customers, but are also quite complex. From an insurer’s perspective, these are essentially sophisticated structured products with embedded options, and it can be challenging to value and manage the risk of these contracts.
Watch as Mario Bonino of Numerix showcases how Numerix’s CrossAsset software can be utilized to value liabilities with embedded financial guarantees, focusing on an example of a Guaranteed Minimum Death Benefit (GMDB).
Would you like access to more content like this?
If this technical series has piqued your interest, be sure to check out the many other technical and thought leadership resources we have to offer in the Numerix resources center. There you’ll get access to our latest whitepapers, blogs, webinars and other key quantitative research.