Numerix Publishes Paper, “General Short-Rate Analytics” in Risk Magazine and Asia Risk

Numerix Publishes Paper, “General Short-Rate Analytics” in Risk Magazine and Asia Risk Dr. Alexandre Antonov, Senior Vice-President of Quantitative Research at Numerix, and Dr. Michael Spector, Director of Quantitative Research at Numerix, recently published a joint paper, “General Short-rate Analytics” in Risk Magazine (May 2011) and Asia Risk (June 2011). Dr. Serguei Issakov, Senior Vice-President of Quantitative Research & Development, comments on the content of the paper and its practical consequences below: “This short paper is packed with results, and I would like to comment on the two points: One addresses a challenging problem of analytical calibration of a multi-factor...